UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-00242
Natixis Funds Trust II
(Exact name of registrant as specified in charter)
399 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Coleen Downs Dinneen, Esq.
NGAM Distribution, L.P.
399 Boylston Street
Boston, Massachusetts 02116
(Name and address of agent for service)
Registrants telephone number, including area code: (617) 449-2810
Date of fiscal year end: December 31
Date of reporting period: September 30, 2015
ITEM 1 | SCHEDULE OF INVESTMENTS |
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of September 30, 2015 (Unaudited)
ASG Global Alternatives Fund
Principal |
Description |
Value () |
||||||
Short-Term Investments 97.8% of Net Assets | ||||||||
Certificates of Deposit 78.6% |
||||||||
$ | 67,250,000 | Canadian Imperial Bank of Commerce, 0.020%, 10/01/2015 |
$ | 67,250,000 | ||||
180,000,000 | National Bank of Kuwait, 0.080%, 10/01/2015(b) |
180,000,000 | ||||||
175,000,000 | Credit Agricole Corporate & Investment Bank, 0.140%, 10/01/2015 |
175,000,350 | ||||||
175,000,000 | Bank of Tokyo-Mitsubishi UFJ Ltd., 0.150%, 10/01/2015 |
175,000,000 | ||||||
30,000,000 | Swedbank, 0.150%, 10/02/2015 |
30,000,000 | ||||||
22,000,000 | Svenska Handelsbanken (NY), 0.235%, 10/02/2015 |
22,000,154 | ||||||
55,000,000 | Mizuho Corporate Bank, 0.340%, 10/02/2015 |
55,000,605 | ||||||
150,000,000 | Svenska Handelsbanken (NY), 0.210%, 10/05/2015 |
150,002,100 | ||||||
37,600,000 | Oversea-Chinese Banking Corp. Ltd., 0.220%, 10/05/2015 |
37,600,113 | ||||||
50,000,000 | Standard Chartered Bank (NY), 0.320%, 10/05/2015 |
50,001,300 | ||||||
50,000,000 | Banco Del Estado de Chile, 0.140%, 10/08/2015 |
50,000,400 | ||||||
53,900,000 | Oversea-Chinese Banking Corp. Ltd., 0.220%, 10/09/2015 |
53,900,269 | ||||||
50,000,000 | Nordea Bank Finland PLC, 0.220%, 10/14/2015 |
50,002,550 | ||||||
70,000,000 | Mizuho Bank Ltd., 0.270%, 10/15/2015 |
70,002,940 | ||||||
20,000,000 | Banco Del Estado de Chile, 0.306%, 10/20/2015(b) |
19,999,720 | ||||||
150,000,000 | Skandinaviska Enskilda Banken (NY), 0.289%, 11/05/2015(b)(c) |
149,997,450 | ||||||
100,000,000 | State Street Bank and Trust Company, 0.240%, 11/06/2015 |
100,013,100 | ||||||
75,000,000 | Wells Fargo, 0.299%, 11/06/2015(b)(c) |
74,998,650 | ||||||
100,000,000 | Standard Chartered Bank (NY), 0.356%, 11/10/2015(b) |
100,015,100 | ||||||
48,000,000 | Landesbank Hessen Thueringen Girozentrale, 0.160%, 11/12/2015 |
47,999,760 | ||||||
75,000,000 | DNB Bank ASA, 0.250%, 11/13/2015 |
75,013,350 | ||||||
175,100,000 | Credit Industriel et Commercial, 0.200%, 11/20/2015 |
175,107,004 | ||||||
75,000,000 | Norinchukin Bank, 0.220%, 11/20/2015 |
75,000,525 | ||||||
50,000,000 | State Street Bank and Trust Company, 0.275%, 11/23/2015(b) |
49,998,350 | ||||||
50,000,000 | Bank of Nova Scotia (TX), 0.289%, 12/07/2015(b) |
49,998,300 | ||||||
85,000,000 | Sumitomo Mitsui Bank (NY), 0.360%, 1/04/2016 |
85,007,650 |
Principal |
Description |
Value () |
||||||
Certificates of Deposit continued |
||||||||
$ | 90,000,000 | Sumitomo Mitsui Bank (NY), 0.394%, 1/04/2016(b) |
$ | 89,994,870 | ||||
60,000,000 | Bank of Montreal (IL), 0.309%, 1/08/2016(b) |
59,998,200 | ||||||
49,700,000 | Royal Bank of Canada, 0.306%, 1/13/2016(b) |
49,692,893 | ||||||
50,000,000 | National Bank of Canada, 0.480%, 1/13/2016(c) |
50,021,100 | ||||||
115,000,000 | Bank of Montreal (IL), 0.366%, 1/14/2016(b) |
114,996,090 | ||||||
25,000,000 | State Street Bank and Trust Company, 0.367%, 1/15/2016(b)(c) |
24,998,375 | ||||||
102,300,000 | DZ Bank (NY), 0.350%, 1/21/2016 |
102,300,614 | ||||||
50,000,000 | DZ Bank (NY), 0.380%, 1/25/2016 |
50,004,050 | ||||||
175,000,000 | Toronto Dominion Bank, 0.500%, 1/27/2016 |
175,116,550 | ||||||
30,000,000 | Westpac Banking Corp. (NY), 0.329%, 2/08/2016(b)(c) |
29,998,920 | ||||||
50,000,000 | Royal Bank of Canada, 0.315%, 2/23/2016(b)(c) |
49,997,500 | ||||||
100,000,000 | Bank of Nova Scotia (TX), 0.396%, 4/01/2016(b) |
99,990,500 | ||||||
75,000,000 | Canadian Imperial Bank of Commerce, 0.461%, 5/17/2016(b) |
74,991,225 | ||||||
|
|
|||||||
3,141,010,627 | ||||||||
|
|
|||||||
Commercial Paper 5.9% |
||||||||
48,900,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.180%, 10/27/2015(d) |
48,892,323 | ||||||
50,000,000 | Oversea-Chinese Banking Corp. Ltd., 0.300%, 11/12/2015(d) |
49,990,050 | ||||||
90,000,000 | Swedbank, 0.270%, 12/22/2015(d) |
89,952,930 | ||||||
50,000,000 | Swedbank, 0.290%, 12/22/2015(d) |
49,973,850 | ||||||
|
|
|||||||
238,809,153 | ||||||||
|
|
|||||||
Other Notes 5.5% |
||||||||
150,000,000 | Bank of America N.A., 0.270%, 11/04/2015(b) |
150,031,050 | ||||||
20,000,000 | JPMorgan Chase Bank NA, Series 1, 0.492%, 10/06/2016(b) |
19,999,740 | ||||||
50,000,000 | Wells Fargo, 0.515%, 10/19/2016(b) |
49,999,700 | ||||||
|
|
|||||||
220,030,490 | ||||||||
|
|
|||||||
Treasuries 3.9% |
||||||||
70,000,000 | U.S. Treasury Bills, 0.015%, 11/19/2015(d) |
70,001,400 | ||||||
15,000,000 | U.S. Treasury Bills, 0.030%, 12/10/2015(d) |
15,001,050 | ||||||
70,000,000 | U.S. Treasury Bills, 0.075%, 1/07/2016(d) |
69,998,810 | ||||||
|
|
|||||||
155,001,260 | ||||||||
|
|
Principal |
Description |
Value () |
||||||
Financial Company Commercial Paper 3.9% |
||||||||
$ | 45,000,000 | JPMorgan Securities LLC, 0.311%, 11/03/2015(b) |
$ | 44,999,280 | ||||
50,000,000 | JPMorgan Securities LLC, 0.359%, 1/08/2016(b) |
49,997,250 | ||||||
60,000,000 | JPMorgan Securities LLC, 0.372%, 1/21/2016(b)(c) |
59,997,900 | ||||||
|
|
|||||||
154,994,430 | ||||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $3,909,622,837) |
3,909,845,960 | |||||||
|
|
|||||||
Total Investments 97.8% (Identified Cost $3,909,622,837)(a) |
3,909,845,960 | |||||||
Other assets less liabilities 2.2% |
87,624,814 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 3,997,470,774 | ||||||
|
|
Consolidation
The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the Subsidiary). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2015, the value of the Funds investment in the Subsidiary was $58,948,081, representing 1.5% of the Funds net assets.
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
As of September 30, 2015, futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts, as follows:
Notional Value |
Unrealized Appreciation/ Depreciation* |
Unrealized as a Percentage of Net Assets |
||||||||
$ | 1,335,362,478 | $ | 22,643,982 | 0.57 | % |
* | Amounts are reflected at absolute value. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): |
At September 30, 2015, the net unrealized appreciation on investments based on a cost of $3,909,622,837 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 281,277 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(58,154 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 223,123 | ||
|
|
(b) | Variable rate security. Rate as of September 30, 2015 is disclosed. |
(c) | All of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. |
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.
At September 30, 2015, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Sell |
12/16/2015 | Australian Dollar | 132,000,000 | $ | 92,283,720 | $ | (488,280 | ) | ||||||||||
Buy |
12/16/2015 | British Pound | 52,562,500 | 79,489,189 | (1,400,083 | ) | ||||||||||||
Buy |
12/16/2015 | Canadian Dollar | 189,300,000 | 141,805,813 | (1,278,736 | ) | ||||||||||||
Buy |
12/16/2015 | Euro | 52,875,000 | 59,157,690 | 76,593 | |||||||||||||
Sell |
12/16/2015 | Euro | 405,375,000 | 453,542,289 | 449,757 | |||||||||||||
Buy |
12/16/2015 | Japanese Yen | 17,762,500,000 | 148,250,818 | (39,285 | ) | ||||||||||||
Sell |
12/16/2015 | Swedish Krona | 1,450,000,000 | 173,548,005 | (974,587 | ) | ||||||||||||
Sell |
12/16/2015 | Swiss Franc | 41,375,000 | 42,569,288 | (113,970 | ) | ||||||||||||
|
|
|||||||||||||||||
Total |
$ | (3,768,591 | ) | |||||||||||||||
|
|
1 | Counterparty is UBS AG |
Futures Contracts
The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds or the Subsidiarys ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 2015, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
E-mini S&P 500® |
12/18/2015 | 652 | $ | 62,225,250 | $ | (812,713 | ) | |||||||||
Eurodollar |
3/14/2016 | 53,144 | 13,216,912,800 | 14,553,213 | ||||||||||||
FTSE 100 Index |
12/18/2015 | 2,572 | 234,611,742 | 415,231 | ||||||||||||
TOPIX |
12/10/2015 | 6,809 | 807,080,839 | (8,337,358 | ) | |||||||||||
2 Year U.S. Treasury Note |
12/31/2015 | 417 | 91,336,032 | 48,172 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | 5,866,545 | ||||||||||||||
|
|
|||||||||||||||
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum LME |
12/16/2015 | 350 | $ | 13,763,750 | $ | 39,375 | ||||||||||
Brent Crude Oil |
11/13/2015 | 70 | 3,433,500 | | ||||||||||||
Copper LME |
12/16/2015 | 205 | 26,473,188 | 438,188 | ||||||||||||
Low Sulfur Gasoil |
11/12/2015 | 90 | 4,203,000 | (11,250 | ) | |||||||||||
Natural Gas |
10/28/2015 | 196 | 4,947,040 | (399,840 | ) | |||||||||||
New York Harbor ULSD |
10/30/2015 | 60 | 3,874,248 | (35,280 | ) | |||||||||||
Nickel LME |
12/16/2015 | 201 | 12,537,576 | 636,768 | ||||||||||||
Zinc LME |
12/16/2015 | 295 | 12,447,156 | (422,219 | ) | |||||||||||
|
|
|||||||||||||||
Total |
$ | 245,742 | ||||||||||||||
|
|
At September 30, 2015, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
DAX |
12/18/2015 | 1,021 | $ | 276,015,527 | $ | 13,789,039 | ||||||||||
German Euro Bund |
12/08/2015 | 498 | 86,914,268 | (1,758,429 | ) | |||||||||||
Hang Seng Index® |
10/29/2015 | 131 | 17,654,370 | 102,354 | ||||||||||||
UK Long Gilt |
12/29/2015 | 2,171 | 391,014,359 | (4,846,592 | ) | |||||||||||
10 Year Japan Government Bond |
12/14/2015 | 70 | 86,451,882 | (297,587 | ) | |||||||||||
10 Year U.S. Treasury Note |
12/21/2015 | 1,418 | 182,545,344 | (2,574,828 | ) | |||||||||||
|
|
|||||||||||||||
Total |
$ | 4,413,957 | ||||||||||||||
|
|
|||||||||||||||
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum LME |
12/16/2015 | 219 | $ | 8,612,175 | $ | 186,172 | ||||||||||
Copper LME |
12/16/2015 | 210 | 27,118,875 | (182,761 | ) | |||||||||||
Gold |
12/29/2015 | 1,268 | 141,407,360 | 1,677,500 | ||||||||||||
Nickel LME |
12/16/2015 | 111 | 6,923,736 | (344,782 | ) | |||||||||||
WTI Crude Oil |
10/20/2015 | 1,493 | 67,319,370 | (134,370 | ) | |||||||||||
Zinc LME |
12/16/2015 | 178 | 7,510,488 | 596,032 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | 1,797,791 | ||||||||||||||
|
|
2 | Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments* |
$ | | $ | 3,909,845,960 | $ | | $ | 3,909,845,960 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
526,350 | | 526,350 | |||||||||||||
Futures Contracts (unrealized appreciation) |
18,175,420 | 14,306,624 | | 32,482,044 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 18,175,420 | $ | 3,924,678,934 | $ | | $ | 3,942,854,354 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (4,294,941 | ) | $ | | $ | (4,294,941 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(11,820,651 | ) | (8,337,358 | ) | | (20,158,009 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (11,820,651 | ) | $ | (12,632,299 | ) | $ | | $ | (24,452,950 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended September 30, 2015, there were no transfers among Levels 1, 2 and 3.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended September 30, 2015, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, commodities (through investments in the Subsidiary), short-term interest rates and foreign currencies in accordance with these objectives.
The following is a summary of derivative instruments for the Fund, as of September 30, 2015:
Assets |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
||||||
Over-the-counter asset derivatives |
||||||||
Foreign exchange contracts |
$ | 526,350 | $ | | ||||
|
|
|
|
|||||
Exchange-traded asset derivatives |
||||||||
Interest rate contracts |
$ | | $ | 14,601,385 | ||||
Equity contracts |
| 14,306,624 | ||||||
Commodity contracts |
| 3,574,035 | ||||||
|
|
|
|
|||||
Total exchange-traded asset derivatives |
$ | | $ | 32,482,044 | ||||
|
|
|
|
|||||
Total asset derivatives |
$ | 526,350 | $ | 32,482,044 | ||||
|
|
|
|
Liabilities |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
||||||
Over-the-counter liability derivatives |
||||||||
Foreign exchange contracts |
$ | (4,294,941 | ) | $ | | |||
|
|
|
|
|||||
Exchange-traded liability derivatives |
||||||||
Interest rate contracts |
$ | | $ | (9,477,436 | ) | |||
Equity contracts |
| (9,150,071 | ) | |||||
Commodity contracts |
| (1,530,502 | ) | |||||
|
|
|
|
|||||
Total exchange-traded liability derivatives |
$ | | $ | (20,158,009 | ) | |||
|
|
|
|
|||||
Total liability derivatives |
$ | (4,294,941 | ) | $ | (20,158,009 | ) | ||
|
|
|
|
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Over-the-counter (OTC) derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (ISDA) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Funds ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2015, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged | ||||||
UBS AG |
$ | (3,768,591 | ) | $ | 30,853,291 |
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Funds risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Funds aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2015:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||||
Over-the-counter counterparty credit risk |
||||||||
Forward foreign currency contracts |
$ | 526,350 | $ | | ||||
Collateral pledged to UBS AG |
30,853,291 | 30,853,291 | ||||||
|
|
|
|
|||||
Total over-the-counter counterparty credit risk |
31,379,641 | 30,853,291 | ||||||
|
|
|
|
|||||
Exchange-traded counterparty credit risk |
||||||||
Futures contracts |
32,482,044 | 32,482,044 | ||||||
Margin with brokers |
37,378,823 | 37,378,823 | ||||||
|
|
|
|
|||||
Total exchange-traded counterparty credit risk |
69,860,867 | 69,860,867 | ||||||
|
|
|
|
|||||
Total counterparty credit risk |
$ | 101,240,508 | $ | 100,714,158 | ||||
|
|
|
|
Investment Summary at September 30, 2015 (Unaudited)
Certificates of Deposit |
78.6 | % | ||
Commercial Paper |
5.9 | |||
Other Notes |
5.5 | |||
Treasuries |
3.9 | |||
Financial Company Commercial Paper |
3.9 | |||
|
|
|||
Total Investments |
97.8 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) |
2.2 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of September 30, 2015 (Unaudited)
ASG Global Macro Fund
Principal |
Description |
Value () |
||||||
Short-Term Investments 93.3% of Net Assets | ||||||||
Certificates of Deposit 79.1% |
||||||||
$ | 1,000,000 | Canadian Imperial Bank of Commerce, 0.020%, 10/01/2015 |
$ | 1,000,000 | ||||
1,000,000 | National Bank of Kuwait, 0.080%, 10/01/2015(b) |
1,000,000 | ||||||
1,000,000 | Credit Agricole Corporate & Investment Bank, 0.140%, 10/01/2015 |
1,000,002 | ||||||
1,100,000 | Bank of Tokyo-Mitsubishi UFJ Ltd., 0.150%, 10/01/2015 |
1,100,000 | ||||||
900,000 | Svenska Handelsbanken (NY), 0.210%, 10/05/2015 |
900,013 | ||||||
500,000 | Standard Chartered Bank (NY), 0.320%, 10/05/2015 |
500,013 | ||||||
100,000 | Oversea-Chinese Banking Corp. Ltd., 0.220%, 10/09/2015 |
100,001 | ||||||
1,000,000 | Mizuho Bank Ltd., 0.270%, 10/15/2015 |
1,000,042 | ||||||
800,000 | Banco Del Estado de Chile, 0.306%, 10/20/2015(b) |
799,989 | ||||||
600,000 | Skandinaviska Enskilda Banken (NY), 0.289%, 11/05/2015(b) |
599,990 | ||||||
500,000 | Standard Chartered Bank (NY), 0.356%, 11/10/2015(b) |
500,075 | ||||||
1,000,000 | Landesbank Hessen Thueringen Girozentrale, 0.160%, 11/12/2015 |
999,995 | ||||||
800,000 | DNB Bank ASA, 0.250%, 11/13/2015 |
800,142 | ||||||
1,000,000 | Credit Industriel et Commercial, 0.200%, 11/20/2015 |
1,000,040 | ||||||
1,000,000 | Norinchukin Bank, 0.220%, 11/20/2015 |
1,000,007 | ||||||
500,000 | State Street Bank and Trust Company, 0.275%, 11/23/2015(b) |
499,983 | ||||||
700,000 | Sumitomo Mitsui Bank (NY), 0.360%, 1/04/2016 |
700,063 | ||||||
300,000 | Sumitomo Mitsui Bank (NY), 0.394%, 1/04/2016(b) |
299,983 | ||||||
1,000,000 | Bank of Montreal (IL), 0.309%, 1/08/2016(b)(c) |
999,970 | ||||||
500,000 | Royal Bank of Canada, 0.306%, 1/13/2016(b)(c) |
499,929 | ||||||
1,000,000 | National Bank of Canada, 0.480%, 1/13/2016 |
1,000,422 | ||||||
500,000 | State Street Bank and Trust Company, 0.367%, 1/15/2016(b) |
499,968 | ||||||
900,000 | DZ Bank (NY), 0.350%, 1/21/2016 |
900,005 | ||||||
900,000 | Toronto Dominion Bank, 0.500%, 1/27/2016(c) |
900,599 | ||||||
800,000 | Westpac Banking Corp. (NY), 0.329%, 2/08/2016(b)(c) |
799,971 | ||||||
500,000 | Royal Bank of Canada, 0.315%, 2/23/2016(b)(c) |
499,975 |
Principal |
Description |
Value () |
||||||
Certificates of Deposit continued |
||||||||
$ | 1,000,000 | Bank of Nova Scotia (TX), 0.396%, 4/01/2016(b)(c) |
$ | 999,905 | ||||
|
|
|||||||
20,901,082 | ||||||||
|
|
|||||||
Treasuries 5.1% |
||||||||
625,000 | U.S. Treasury Bills, 0.015%, 11/19/2015(d) |
625,013 | ||||||
100,000 | U.S. Treasury Bills, 0.030%, 12/10/2015(d) |
100,007 | ||||||
625,000 | U.S. Treasury Bills, 0.075%, 1/07/2016(d) |
624,989 | ||||||
|
|
|||||||
1,350,009 | ||||||||
|
|
|||||||
Commercial Paper 3.8% |
||||||||
1,000,000 | Swedbank, 0.270%, 12/22/2015(d) |
999,477 | ||||||
|
|
|||||||
Financial Company Commercial Paper 3.4% |
||||||||
700,000 | JPMorgan Securities LLC, 0.311%, 11/03/2015(b) |
699,989 | ||||||
200,000 | JPMorgan Securities LLC, 0.359%, 1/08/2016(b)(c) |
199,989 | ||||||
|
|
|||||||
899,978 | ||||||||
|
|
|||||||
Other Notes 1.9% |
||||||||
500,000 | Bank of America N.A., 0.270%, 11/04/2015(b) |
500,103 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $24,649,375) |
24,650,649 | |||||||
|
|
|||||||
Total Investments 93.3% (Identified Cost $24,649,375)(a) |
24,650,649 | |||||||
Other assets less liabilities 6.7% |
1,773,561 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 26,424,210 | ||||||
|
|
Consolidation
The Fund invests in commodity-related derivatives through its investment in the ASG Global Macro Cayman Fund Ltd., a wholly-owned subsidiary (the Subsidiary). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2015, the value of the Funds investment in the Subsidiary was $1,465,752, representing 5.5% of the Funds net assets.
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Notional Value |
Unrealized Appreciation/ Depreciation* |
Unrealized as a Percentage of Net Assets |
||||||||
$ | 4,402,848 | $ | 88,498 | 0.33 | % |
* | Amounts are reflected at absolute value. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information: |
At September 30, 2015, the net unrealized appreciation on investments based on a cost of $24,649,375 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 1,656 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(382 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 1,274 | ||
|
|
(b) | Variable rate security. Rate as of September 30, 2015 is disclosed. |
(c) | All of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. |
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.
At September 30, 2015, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Buy |
12/16/2015 | Australian Dollar | 2,600,000 | $ | 1,817,710 | $ | 12,371 | |||||||||||
Buy |
12/16/2015 | Australian Dollar | 5,400,000 | 3,775,243 | (55,736 | ) | ||||||||||||
Sell |
12/16/2015 | Australian Dollar | 4,300,000 | 3,006,212 | (15,906 | ) | ||||||||||||
Buy |
12/16/2015 | British Pound | 2,750,000 | 4,158,768 | (30,304 | ) | ||||||||||||
Sell |
12/16/2015 | British Pound | 1,625,000 | 2,457,454 | 49,892 | |||||||||||||
Buy |
12/16/2015 | Canadian Dollar | 4,300,000 | 3,221,157 | 8,317 | |||||||||||||
Buy |
12/16/2015 | Canadian Dollar | 6,300,000 | 4,719,369 | (30,868 | ) | ||||||||||||
Sell |
12/16/2015 | Canadian Dollar | 4,600,000 | 3,445,889 | 31,073 | |||||||||||||
Sell |
12/16/2015 | Canadian Dollar | 2,000,000 | 1,498,213 | (8,670 | ) | ||||||||||||
Buy |
12/16/2015 | Euro | 1,750,000 | 1,957,938 | (15,599 | ) | ||||||||||||
Sell |
12/16/2015 | Euro | 4,000,000 | 4,475,286 | 3,254 | |||||||||||||
Sell |
12/16/2015 | Euro | 875,000 | 978,969 | (3,060 | ) | ||||||||||||
Buy |
12/16/2015 | Japanese Yen | 787,500,000 | 6,572,696 | (4,418 | ) | ||||||||||||
Sell |
12/16/2015 | Japanese Yen | 425,000,000 | 3,547,169 | (11,984 | ) | ||||||||||||
Buy |
12/16/2015 | New Zealand Dollar | 6,200,000 | 3,942,612 | 46,736 | |||||||||||||
Sell |
12/16/2015 | New Zealand Dollar | 7,500,000 | 4,769,288 | (41,560 | ) | ||||||||||||
Buy |
12/16/2015 | Norwegian Krone | 30,000,000 | 3,519,790 | (150,852 | ) | ||||||||||||
Sell |
12/16/2015 | Norwegian Krone | 14,000,000 | 1,642,569 | 37,689 | |||||||||||||
Sell |
12/16/2015 | Norwegian Krone | 18,000,000 | 2,111,874 | (5,469 | ) | ||||||||||||
Buy |
12/16/2015 | Singapore Dollar | 625,000 | 438,106 | (7,583 | ) | ||||||||||||
Sell |
12/16/2015 | Singapore Dollar | 1,000,000 | 700,969 | 4,660 | |||||||||||||
Sell |
12/16/2015 | Singapore Dollar | 500,000 | 350,485 | (1,448 | ) | ||||||||||||
Sell |
12/17/2015 | South African Rand | 3,000,000 | 213,617 | 7,879 | |||||||||||||
Buy |
12/16/2015 | Swedish Krona | 24,000,000 | 2,872,519 | 12,660 | |||||||||||||
Sell |
12/16/2015 | Swiss Franc | 3,000,000 | 3,086,595 | (12,166 | ) | ||||||||||||
Buy |
12/16/2015 | Turkish Lira | 300,000 | 96,886 | 187 | |||||||||||||
Buy |
12/16/2015 | Turkish Lira | 300,000 | 96,886 | (675 | ) | ||||||||||||
Sell |
12/16/2015 | Turkish Lira | 300,000 | 96,886 | 74 | |||||||||||||
Sell |
12/16/2015 | Turkish Lira | 900,000 | 290,657 | (2,080 | ) | ||||||||||||
|
|
|||||||||||||||||
Total |
$ | (183,586 | ) | |||||||||||||||
|
|
1 | Counterparty is UBS AG |
Futures Contracts
The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds or the Subsidiarys ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 2015, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Euro Schatz |
12/08/2015 | 37 | $ | 4,603,631 | $ | 1,257 | ||||||||||
Euro-BTP |
12/08/2015 | 2 | 304,581 | 1,129 | ||||||||||||
Euro-OAT |
12/08/2015 | 2 | 338,840 | 1,855 | ||||||||||||
German Euro BOBL |
12/08/2015 | 12 | 1,730,003 | 3,195 | ||||||||||||
MSCI Taiwan Index |
10/29/2015 | 3 | 91,071 | 1,011 | ||||||||||||
TOPIX |
12/10/2015 | 13 | 1,540,909 | (14,811 | ) | |||||||||||
2 Year U.S. Treasury Note |
12/31/2015 | 16 | 3,504,500 | 5,516 | ||||||||||||
5 Year U.S. Treasury Note |
12/31/2015 | 10 | 1,205,156 | 6,250 | ||||||||||||
10 Year Canada Government Bond |
12/18/2015 | 89 | 9,456,208 | 23,791 | ||||||||||||
10 Year U.S. Treasury Note |
12/21/2015 | 59 | 7,595,328 | 40,922 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | 70,115 | ||||||||||||||
|
|
|||||||||||||||
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum LME |
12/16/2015 | 4 | $ | 157,300 | $ | (6,045 | ) | |||||||||
Cocoa |
12/15/2015 | 14 | 435,960 | (17,400 | ) | |||||||||||
Copper LME |
12/16/2015 | 2 | 258,275 | 1,340 | ||||||||||||
Live Cattle |
12/31/2015 | 9 | 471,330 | (29,250 | ) | |||||||||||
Nickel LME |
12/16/2015 | 4 | 249,504 | 8,340 | ||||||||||||
Zinc LME |
12/16/2015 | 5 | 210,969 | (7,157 | ) | |||||||||||
|
|
|||||||||||||||
Total |
$ | (50,172 | ) | |||||||||||||
|
|
At September 30, 2015, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
AEX-Index® |
10/16/2015 | 1 | $ | 94,360 | $ | (1,213 | ) | |||||||||
DAX |
12/18/2015 | 6 | 1,622,031 | 61,751 | ||||||||||||
E-mini S&P 500® |
12/18/2015 | 13 | 1,240,688 | 20,570 | ||||||||||||
German Euro Bund |
12/08/2015 | 8 | 1,396,213 | 1,519 | ||||||||||||
Hang Seng Index® |
10/29/2015 | 4 | 539,065 | 1,886 | ||||||||||||
IBEX 35 |
10/16/2015 | 4 | 427,409 | 7,371 |
Financial Futures (continued) |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Mini-Russell 2000 |
12/18/2015 | 2 | $ | 219,180 | $ | (3,340 | ) | |||||||||
MSCI Singapore |
10/29/2015 | 2 | 88,003 | 455 | ||||||||||||
S&P CNX Nifty Futures Index |
10/29/2015 | 5 | 79,760 | 350 | ||||||||||||
UK Long Gilt |
12/29/2015 | 2 | 360,216 | (3,721 | ) | |||||||||||
3 Year Australia Government Bond |
12/15/2015 | 9 | 709,251 | (2,120 | ) | |||||||||||
10 Year Australia Government Bond |
12/15/2015 | 63 | 5,722,591 | (40,604 | ) | |||||||||||
10 Year Japan Government Bond |
12/14/2015 | 24 | 29,640,645 | (102,030 | ) | |||||||||||
|
|
|||||||||||||||
Total |
$ | (59,126 | ) | |||||||||||||
|
|
|||||||||||||||
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Brent Crude Oil |
11/13/2015 | 8 | $ | 392,400 | $ | (1,840 | ) | |||||||||
Coffee |
12/18/2015 | 13 | 591,581 | 26,419 | ||||||||||||
Copper LME |
12/16/2015 | 2 | 258,275 | (4,325 | ) | |||||||||||
Corn |
12/14/2015 | 6 | 116,325 | (5,325 | ) | |||||||||||
Cotton |
12/08/2015 | 10 | 302,200 | 11,245 | ||||||||||||
Gasoline |
10/30/2015 | 4 | 229,606 | (2,978 | ) | |||||||||||
Gold |
12/29/2015 | 4 | 446,080 | 720 | ||||||||||||
Low Sulfur Gasoil |
11/12/2015 | 9 | 420,300 | 3,675 | ||||||||||||
Natural Gas |
10/28/2015 | 22 | 555,280 | 39,560 | ||||||||||||
New York Harbor ULSD |
10/30/2015 | 6 | 387,425 | 2,646 | ||||||||||||
Silver |
12/29/2015 | 8 | 580,720 | 9,530 | ||||||||||||
Soybean |
11/13/2015 | 13 | 579,800 | (11,663 | ) | |||||||||||
Soybean Meal |
12/14/2015 | 4 | 123,600 | (2,240 | ) | |||||||||||
Soybean Oil |
12/14/2015 | 20 | 328,080 | (8,544 | ) | |||||||||||
Sugar |
2/29/2016 | 29 | 418,342 | (19,286 | ) | |||||||||||
WTI Crude Oil |
10/20/2015 | 8 | 360,720 | (380 | ) | |||||||||||
Zinc LME |
12/16/2015 | 5 | 210,969 | (2,931 | ) | |||||||||||
|
|
|||||||||||||||
Total |
$ | 34,283 | ||||||||||||||
|
|
2 | Commodity futures are held by ASG Global Macro Cayman Fund Ltd., a wholly-owned subsidiary. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments* |
$ | | $ | 24,650,649 | $ | | $ | 24,650,649 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
214,792 | | 214,792 | |||||||||||||
Futures Contracts (unrealized appreciation) |
209,829 | 72,474 | | 282,303 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 209,829 | $ | 24,937,915 | $ | | $ | 25,147,744 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (398,378 | ) | $ | | $ | (398,378 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(271,179 | ) | (16,024 | ) | | (287,203 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (271,179 | ) | $ | (414,402 | ) | $ | | $ | (685,581 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended September 30, 2015, there were no transfers among Levels 1, 2 and 3.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
The Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended September 30, 2015, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investments in the Subsidiary) to capture the exposures suggested by the quantitative investment models.
The following is a summary of derivative instruments for the Fund, as of September 30, 2015:
Assets |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
||||||
Over-the-counter asset derivatives |
||||||||
Foreign exchange contracts |
$ | 214,792 | $ | | ||||
|
|
|
|
|||||
Exchange-traded asset derivatives |
||||||||
Interest rate contracts |
$ | | $ | 85,434 | ||||
Equity contracts |
| 93,394 | ||||||
Commodity contracts |
| 103,475 | ||||||
|
|
|
|
|||||
Total exchange-traded asset derivatives |
$ | | $ | 282,303 | ||||
|
|
|
|
|||||
Total asset derivatives |
$ | 214,792 | $ | 282,303 | ||||
|
|
|
|
Liabilities |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
||||||
Over-the-counter liability derivatives |
||||||||
Foreign exchange contracts |
$ | (398,378 | ) | $ | | |||
|
|
|
|
|||||
Exchange-traded liability derivatives |
||||||||
Interest rate contracts |
$ | | $ | (148,475 | ) | |||
Equity contracts |
| (19,364 | ) | |||||
Commodity contracts |
| (119,364 | ) | |||||
|
|
|
|
|||||
Total exchange-traded liability derivatives |
$ | | $ | (287,203 | ) | |||
|
|
|
|
|||||
Total liability derivatives |
$ | (398,378 | ) | $ | (287,203 | ) | ||
|
|
|
|
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Over-the-counter (OTC) derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (ISDA) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master
netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Funds ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2015, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged | ||||||
UBS AG |
$ | (183,586 | ) | $ | 761,348 |
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Funds risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Funds aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2015:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||||
Over-the-counter counterparty credit risk |
||||||||
Forward foreign currency contracts |
$ | 214,792 | $ | | ||||
Collateral pledged to UBS AG |
761,348 | 761,348 | ||||||
|
|
|
|
|||||
Total over-the-counter counterparty credit risk |
976,140 | 761,348 | ||||||
|
|
|
|
|||||
Exchange-traded counterparty credit risk |
||||||||
Futures contracts |
282,303 | 282,303 | ||||||
Margin with brokers |
962,646 | 962,646 | ||||||
|
|
|
|
|||||
Total exchange-traded counterparty credit risk |
1,244,949 | 1,244,949 | ||||||
|
|
|
|
|||||
Total counterparty credit risk |
$ | 2,221,089 | $ | 2,006,297 | ||||
|
|
|
|
Investment Summary at September 30, 2015 (Unaudited)
Certificates of Deposit |
79.1 | % | ||
Treasuries |
5.1 | |||
Commercial Paper |
3.8 | |||
Financial Company Commercial Paper |
3.4 | |||
Other Notes |
1.9 | |||
|
|
|||
Total Investments |
93.3 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) |
6.7 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of September 30, 2015 (Unaudited)
ASG Managed Futures Strategy Fund
Principal |
Description |
Value () |
||||||
|
Short-Term Investments 96.8% of Net Assets |
| ||||||
Certificates of Deposit 81.1% |
||||||||
$ | 61,000,000 | Canadian Imperial Bank of Commerce, 0.020%, 10/01/2015 |
$ | 61,000,000 | ||||
15,000,000 | Royal Bank of Canada, 0.020%, 10/01/2015 |
15,000,000 | ||||||
113,200,000 | National Bank of Kuwait, 0.080%, 10/01/2015(b) |
113,200,000 | ||||||
105,000,000 | Credit Agricole Corporate & Investment Bank, 0.140%, 10/01/2015 |
105,000,210 | ||||||
105,000,000 | Bank of Tokyo-Mitsubishi UFJ Ltd., 0.150%, 10/01/2015 |
105,000,000 | ||||||
30,000,000 | Swedbank, 0.150%, 10/02/2015 |
30,000,000 | ||||||
19,000,000 | Mizuho Corporate Bank, 0.340%, 10/02/2015 |
19,000,209 | ||||||
90,000,000 | Svenska Handelsbanken (NY), 0.210%, 10/05/2015 |
90,001,260 | ||||||
25,000,000 | Standard Chartered Bank (NY), 0.320%, 10/05/2015 |
25,000,650 | ||||||
50,000,000 | Banco Del Estado de Chile, 0.140%, 10/08/2015 |
50,000,400 | ||||||
45,000,000 | Oversea-Chinese Banking Corp. Ltd., 0.220%, 10/09/2015 |
45,000,225 | ||||||
35,000,000 | Mizuho Bank Ltd., 0.270%, 10/15/2015 |
35,001,470 | ||||||
50,000,000 | Banco Del Estado de Chile, 0.306%, 10/20/2015(b) |
49,999,300 | ||||||
95,000,000 | Skandinaviska Enskilda Banken (NY), 0.289%, 11/05/2015(b) |
94,998,385 | ||||||
30,000,000 | Wells Fargo, 0.299%, 11/06/2015(b)(c) |
29,999,460 | ||||||
15,000,000 | Royal Bank of Canada, 0.293%, 11/10/2015(b)(c) |
14,999,625 | ||||||
70,000,000 | Standard Chartered Bank (NY), 0.356%, 11/10/2015(b) |
70,010,570 | ||||||
100,000,000 | Landesbank Hessen Thueringen Girozentrale, 0.160%, 11/12/2015 |
99,999,500 | ||||||
50,000,000 | DNB Bank ASA, 0.250%, 11/13/2015 |
50,008,900 | ||||||
100,000,000 | Credit Industriel et Commercial, 0.200%, 11/20/2015 |
100,004,000 | ||||||
100,000,000 | Norinchukin Bank, 0.220%, 11/20/2015 |
100,000,700 | ||||||
50,000,000 | State Street Bank and Trust Company, 0.275%, 11/23/2015(b) |
49,998,350 | ||||||
65,000,000 | Bank of Nova Scotia (TX), 0.289%, 12/07/2015(b)(c) |
64,997,790 | ||||||
55,000,000 | Sumitomo Mitsui Bank (NY), 0.360%, 1/04/2016 |
55,004,950 | ||||||
50,000,000 | Sumitomo Mitsui Bank (NY), 0.394%, 1/04/2016(b) |
49,997,150 | ||||||
55,000,000 | Bank of Montreal (IL), 0.309%, 1/08/2016(b) |
54,998,350 |
Principal Amount |
Description |
Value () |
||||||
Certificates of Deposit continued |
||||||||
$ | 30,000,000 | Royal Bank of Canada, 0.306%, 1/13/2016(b)(c) |
$ | 29,995,710 | ||||
15,000,000 | National Bank of Canada, 0.480%, 1/13/2016 |
15,006,330 | ||||||
40,000,000 | Bank of Montreal (IL), 0.366%, 1/14/2016(b)(c) |
39,998,640 | ||||||
40,000,000 | State Street Bank and Trust Company, 0.367%, 1/15/2016(b)(c) |
39,997,400 | ||||||
95,000,000 | DZ Bank (NY), 0.350%, 1/21/2016 |
95,000,570 | ||||||
90,000,000 | Toronto Dominion Bank, 0.500%, 1/27/2016 |
90,059,940 | ||||||
20,000,000 | Westpac Banking Corp. (NY), 0.329%, 2/08/2016(b) |
19,999,280 | ||||||
30,000,000 | Royal Bank of Canada, 0.315%, 2/23/2016(b)(c) |
29,998,500 | ||||||
30,000,000 | Bank of Nova Scotia (TX), 0.396%, 4/01/2016(b) |
29,997,150 | ||||||
50,000,000 | Canadian Imperial Bank of Commerce, 0.461%, 5/17/2016(b)(c) |
49,994,150 | ||||||
|
|
|||||||
2,018,269,124 | ||||||||
|
|
|||||||
Other Notes 5.0% |
||||||||
90,000,000 | Bank of America N.A., 0.270%, 11/04/2015(b) |
90,018,630 | ||||||
5,000,000 | JPMorgan Chase Bank NA, Series 1, 0.492%, 10/06/2016(b) |
4,999,935 | ||||||
30,000,000 | Wells Fargo, 0.515%, 10/19/2016(b) |
29,999,820 | ||||||
|
|
|||||||
125,018,385 | ||||||||
|
|
|||||||
Treasuries 4.5% |
||||||||
51,000,000 | U.S. Treasury Bills, 0.015%, 11/19/2015(d) |
51,001,020 | ||||||
10,000,000 | U.S. Treasury Bills, 0.030%, 12/10/2015(d) |
10,000,700 | ||||||
51,000,000 | U.S. Treasury Bills, 0.075%, 1/07/2016(d) |
50,999,133 | ||||||
|
|
|||||||
112,000,853 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 3.4% |
||||||||
25,000,000 | JPMorgan Securities LLC, 0.311%, 11/03/2015(b) |
24,999,600 | ||||||
50,000,000 | JPMorgan Securities LLC, 0.359%, 1/08/2016(b) |
49,997,250 | ||||||
10,000,000 | JPMorgan Securities LLC, 0.372%, 1/21/2016(b) |
9,999,650 | ||||||
|
|
|||||||
84,996,500 | ||||||||
|
|
|||||||
Commercial Paper 2.8% |
||||||||
25,000,000 | Swedbank, 0.270%, 12/22/2015(d) |
24,986,925 | ||||||
45,000,000 | Swedbank, 0.290%, 12/22/2015(d) |
44,976,465 | ||||||
|
|
|||||||
69,963,390 | ||||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $2,410,144,002) |
2,410,248,252 | |||||||
|
|
Description |
Value () |
|||||
Total Investments 96.8% (Identified Cost $2,410,144,002)(a) |
$ | 2,410,248,252 | ||||
Other assets less liabilities 3.2% |
80,252,200 | |||||
|
|
|||||
Net Assets 100.0% |
$ | 2,490,500,452 | ||||
|
|
Consolidation
The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary (the Subsidiary). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2015, the value of the Funds investment in the Subsidiary was $68,483,291, representing 2.7% of the Funds net assets.
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Notional Value |
Unrealized Appreciation/ Depreciation* |
Unrealized as a Percentage of Net Assets |
||||||||
$ | 228,181,648 | $ | 2,784,855 | 0.11 | % |
* | Amounts are reflected at absolute value. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information: |
At September 30, 2015, the net unrealized appreciation on investments based on a cost of $2,410,144,002 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 140,331 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(36,081 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 104,250 | ||
|
|
(b) | Variable rate security. Rate as of September 30, 2015 is disclosed. |
(c) | All of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. |
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.
At September 30, 2015, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 |
Delivery Date |
Currency |
Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Buy |
12/16/2015 | Australian Dollar | 36,800,000 | $ | 25,727,583 | $ | (546,297 | ) | ||||||||||
Sell |
12/16/2015 | Australian Dollar | 149,700,000 | 104,658,128 | (553,754 | ) | ||||||||||||
Buy |
12/16/2015 | British Pound | 11,562,500 | 17,485,731 | (501,200 | ) | ||||||||||||
Sell |
12/16/2015 | British Pound | 36,000,000 | 54,442,060 | 958,916 | |||||||||||||
Sell |
12/16/2015 | Canadian Dollar | 140,400,000 | 105,174,518 | 948,413 | |||||||||||||
Sell |
12/16/2015 | Canadian Dollar | 52,300,000 | 39,178,257 | (185,081 | ) | ||||||||||||
Sell |
12/16/2015 | Euro | 6,625,000 | 7,412,193 | 5,389 | |||||||||||||
Buy |
12/16/2015 | Japanese Yen | 2,875,000,000 | 23,995,558 | 26,455 | |||||||||||||
Buy |
12/16/2015 | Japanese Yen | 2,612,500,000 | 21,804,659 | (10,334 | ) | ||||||||||||
Buy |
12/16/2015 | Mexican Peso | 85,000,000 | 4,998,339 | 9,689 | |||||||||||||
Buy |
12/16/2015 | Mexican Peso | 83,500,000 | 4,910,133 | (127,062 | ) | ||||||||||||
Sell |
12/16/2015 | Mexican Peso | 1,430,500,000 | 84,119,109 | 246,611 | |||||||||||||
Sell |
12/16/2015 | New Zealand Dollar | 104,000,000 | 66,134,131 | (783,963 | ) | ||||||||||||
Sell |
12/16/2015 | Norwegian Krone | 720,000,000 | 84,474,972 | 2,658,099 | |||||||||||||
Sell |
12/16/2015 | Singapore Dollar | 158,125,000 | 110,840,766 | 79,234 | |||||||||||||
Sell |
12/17/2015 | South African Rand | 1,114,500,000 | 79,358,555 | 84,504 | |||||||||||||
Buy |
12/16/2015 | Swedish Krona | 306,000,000 | 36,624,614 | (688,555 | ) | ||||||||||||
Sell |
12/16/2015 | Swedish Krona | 676,000,000 | 80,909,277 | (454,359 | ) | ||||||||||||
Sell |
12/16/2015 | Swiss Franc | 17,000,000 | 17,490,704 | (41,154 | ) | ||||||||||||
Sell |
12/16/2015 | Turkish Lira | 213,600,000 | 68,982,621 | (379,764 | ) | ||||||||||||
|
|
|||||||||||||||||
Total |
$ | 745,787 | ||||||||||||||||
|
|
1 | Counterparty is UBS AG |
Futures Contracts
The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds or the Subsidiarys ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 2015, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
AEX-Index® |
10/16/2015 | 37 | $ | 3,491,313 | $ | (62,263 | ) | |||||||||
CAC 40® |
10/16/2015 | 246 | 12,273,889 | (200,179 | ) | |||||||||||
E-mini NASDAQ 100 |
12/18/2015 | 250 | 20,815,000 | (623,543 | ) | |||||||||||
Euribor |
3/14/2016 | 2,699 | 754,417,751 | 116,992 | ||||||||||||
Euro Schatz |
12/08/2015 | 4,491 | 558,781,196 | 501,824 | ||||||||||||
EURO STOXX 50® |
12/18/2015 | 447 | 15,475,669 | (357,772 | ) | |||||||||||
Euro-BTP |
12/08/2015 | 784 | 119,395,666 | 2,924,782 | ||||||||||||
Euro-OAT |
12/08/2015 | 615 | 104,193,377 | 2,188,025 | ||||||||||||
Eurodollar |
3/14/2016 | 12,143 | 3,019,964,100 | 3,965,575 | ||||||||||||
FTSE MIB |
12/18/2015 | 98 | 11,645,637 | (49,514 | ) | |||||||||||
German Euro BOBL |
12/08/2015 | 3,067 | 442,159,866 | 2,913,005 | ||||||||||||
German Euro Bund |
12/08/2015 | 857 | 149,569,332 | 2,763,787 | ||||||||||||
Nikkei 225 |
12/10/2015 | 85 | 12,407,860 | (215,489 | ) | |||||||||||
OMXS30® |
10/16/2015 | 794 | 13,444,939 | (410,302 | ) | |||||||||||
Sterling |
3/16/2016 | 9,890 | 1,857,980,623 | 1,309,096 | ||||||||||||
TOPIX |
12/10/2015 | 115 | 13,631,120 | (146,065 | ) | |||||||||||
UK Long Gilt |
12/29/2015 | 606 | 109,145,418 | 1,136,740 | ||||||||||||
Ultra Long U.S. Treasury Bond |
12/21/2015 | 298 | 47,801,063 | 21,070 | ||||||||||||
2 Year U.S. Treasury Note |
12/31/2015 | 4,714 | 1,032,513,313 | (147,313 | ) | |||||||||||
3 Year Australia Government Bond |
12/15/2015 | 3,419 | 269,436,746 | 371,179 | ||||||||||||
5 Year U.S. Treasury Note |
12/31/2015 | 2,891 | 348,410,672 | 1,892,390 | ||||||||||||
10 Year Australia Government Bond |
12/15/2015 | 1,207 | 109,637,584 | 1,181,028 | ||||||||||||
10 Year Canada Government Bond |
12/18/2015 | 1,372 | 145,774,357 | (1,716,928 | ) | |||||||||||
10 Year Japan Government Bond |
12/14/2015 | 575 | 710,140,458 | 2,396,949 | ||||||||||||
10 Year U.S. Treasury Note |
12/21/2015 | 1,418 | 182,545,344 | 121,859 | ||||||||||||
30 Year U.S. Treasury Bond |
12/21/2015 | 339 | 53,339,531 | 373,414 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | 20,248,347 | ||||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value | Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum LME |
12/16/2015 | 163 | $ | 6,409,976 | $ | (246,334 | ) | |||||||||
Cocoa |
12/15/2015 | 199 | 6,196,860 | (325,460 | ) | |||||||||||
Copper LME |
12/16/2015 | 75 | 9,685,313 | (371,156 | ) |
Commodity Futures2 (continued) |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Soybean Meal |
12/14/2015 | 162 | $ | 5,005,800 | $ | (330,250 | ) | |||||||||
|
|
|||||||||||||||
Total |
$ | (1,273,200 | ) | |||||||||||||
|
|
At September 30, 2015, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
ASX SPI 200 |
12/17/2015 | 64 | $ | 5,658,936 | $ | 44,846 | ||||||||||
DAX |
12/18/2015 | 7 | 1,892,369 | (19,635 | ) | |||||||||||
E-mini Dow |
12/18/2015 | 49 | 3,907,505 | (6,010 | ) | |||||||||||
E-mini S&P 500® |
12/18/2015 | 39 | 3,722,063 | (21,750 | ) | |||||||||||
FTSE 100 Index |
12/18/2015 | 142 | 12,952,903 | 57,181 | ||||||||||||
FTSE/JSE Top 40 Index |
12/17/2015 | 230 | 7,536,355 | (198,700 | ) | |||||||||||
Hang Seng Index® |
10/29/2015 | 191 | 25,740,341 | 128,802 | ||||||||||||
IBEX 35 |
10/16/2015 | 320 | 34,192,722 | 486,249 | ||||||||||||
Mini-Russell 2000 |
12/18/2015 | 217 | 23,781,030 | (162,300 | ) | |||||||||||
MSCI Singapore |
10/29/2015 | 955 | 42,021,590 | 218,781 | ||||||||||||
MSCI Taiwan Index |
10/29/2015 | 521 | 15,816,007 | (189,077 | ) | |||||||||||
S&P CNX Nifty Futures Index |
10/29/2015 | 1,445 | 23,050,640 | 130,818 | ||||||||||||
S&P/TSX 60 Index |
12/17/2015 | 236 | 27,587,861 | 270,950 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | 740,155 | ||||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum LME |
12/16/2015 | 1,122 | $ | 44,122,650 | $ | (126,225 | ) | |||||||||
Brent Crude Oil |
11/13/2015 | 318 | 15,597,900 | (4,140 | ) | |||||||||||
Coffee |
12/18/2015 | 458 | 20,841,863 | 2,387,325 | ||||||||||||
Copper |
12/29/2015 | 335 | 19,605,875 | (360,913 | ) | |||||||||||
Copper LME |
12/16/2015 | 261 | 33,704,888 | (564,412 | ) | |||||||||||
Corn |
12/14/2015 | 853 | 16,537,536 | (857,575 | ) | |||||||||||
Cotton |
12/08/2015 | 140 | 4,230,800 | 8,720 | ||||||||||||
Gasoline |
10/30/2015 | 241 | 13,833,737 | (74,042 | ) | |||||||||||
Gold |
12/29/2015 | 341 | 38,028,320 | (707,280 | ) | |||||||||||
Live Cattle |
12/31/2015 | 324 | 16,967,880 | 1,264,140 | ||||||||||||
Low Sulfur Gasoil |
11/12/2015 | 375 | 17,512,500 | 54,075 | ||||||||||||
Natural Gas |
10/28/2015 | 991 | 25,012,840 | 2,004,640 | ||||||||||||
New York Harbor ULSD |
10/30/2015 | 205 | 13,237,014 | 120,540 | ||||||||||||
Nickel LME |
12/16/2015 | 343 | 21,394,968 | (1,086,624 | ) | |||||||||||
Silver |
12/29/2015 | 418 | 30,342,620 | 850,390 | ||||||||||||
Soybean |
11/13/2015 | 791 | 35,278,600 | 456,313 | ||||||||||||
Soybean Oil |
12/14/2015 | 2,851 | 46,767,804 | 2,833,722 | ||||||||||||
Sugar |
2/29/2016 | 1,460 | 21,061,376 | (939,187 | ) | |||||||||||
Wheat |
12/14/2015 | 845 | 21,663,688 | (1,653,963 | ) | |||||||||||
WTI Crude Oil |
10/20/2015 | 259 | 11,678,310 | (23,310 | ) | |||||||||||
Zinc LME |
12/16/2015 | 355 | 14,978,781 | 508,094 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | 4,090,288 | ||||||||||||||
|
|
2 | Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments* |
$ | | $ | 2,410,248,252 | $ | | $ | 2,410,248,252 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
5,017,310 | | 5,017,310 | |||||||||||||
Futures Contracts (unrealized appreciation) |
35,067,442 | 935,859 | | 36,003,301 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 35,067,442 | $ | 2,416,201,421 | $ | | $ | 2,451,268,863 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (4,271,523 | ) | $ | | $ | (4,271,523 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(10,348,715 | ) | (1,848,996 | ) | | (12,197,711 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (10,348,715 | ) | $ | (6,120,519 | ) | $ | | $ | (16,469,234 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2015, there were no transfers among Levels 1, 2 and 3.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
The Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended September 30, 2015, the Fund used long and short contracts on U.S. and foreign equity market indices, foreign currencies and commodities (through investments in the Subsidiary) and long contracts on U.S. and foreign equity interest rate contracts and short-term interest rates to capture the exposures suggested by the quantitative investment models.
The following is a summary of derivative instruments for the Fund, as of September 30, 2015:
Assets |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
||||||
Over-the-counter asset derivatives |
||||||||
Foreign exchange contracts |
$ | 5,017,310 | $ | | ||||
|
|
|
|
|||||
Exchange-traded asset derivatives |
||||||||
Interest rate contracts |
$ | | $ | 24,177,715 | ||||
Equity contracts |
| 1,337,627 | ||||||
Commodity contracts |
| 10,487,959 | ||||||
|
|
|
|
|||||
Total exchange-traded asset derivatives |
$ | | $ | 36,003,301 | ||||
|
|
|
|
|||||
Total asset derivatives |
$ | 5,017,310 | $ | 36,003,301 | ||||
|
|
|
|
Liabilities |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
||||||
Over-the-counter liability derivatives |
||||||||
Foreign exchange contracts |
$ | (4,271,523 | ) | $ | | |||
|
|
|
|
|||||
Exchange-traded liability derivatives |
||||||||
Interest rate contracts |
$ | | $ | (1,864,241 | ) | |||
Equity contracts |
| (2,662,599 | ) | |||||
Commodity contracts |
| (7,670,871 | ) | |||||
|
|
|
|
|||||
Total exchange-traded liability derivatives |
$ | | $ | (12,197,711 | ) | |||
|
|
|
|
|||||
Total liability derivatives |
$ | (4,271,523 | ) | $ | (12,197,711 | ) | ||
|
|
|
|
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Over-the-counter (OTC) derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (ISDA) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Funds ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2015, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Funds risk of loss from counterparty credit risk on OTC derivatives is generally limited to the Funds aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2015:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||||
Over-the-counter counterparty credit risk |
||||||||
Forward foreign currency contracts |
$ | 5,017,310 | $ | 745,787 | ||||
Collateral pledged to UBS AG |
39,701,853 | 39,701,853 | ||||||
|
|
|
|
|||||
Total over-the-counter counterparty credit risk |
44,719,163 | 40,447,640 | ||||||
|
|
|
|
|||||
Exchange-traded counterparty credit risk |
||||||||
Futures contracts |
36,003,301 | 36,003,301 | ||||||
Margin with brokers |
| | ||||||
|
|
|
|
|||||
Total exchange-traded counterparty credit risk |
36,003,301 | 36,003,301 | ||||||
|
|
|
|
|||||
Total counterparty credit risk |
$ | 80,722,464 | $ | 76,450,941 | ||||
|
|
|
|
Investment Summary at September 30, 2015 (Unaudited)
Certificates of Deposit |
81.1 | % | ||
Other Notes |
5.0 | |||
Treasuries |
4.5 | |||
Financial Company Commercial Paper |
3.4 | |||
Commercial Paper |
2.8 | |||
|
|
|||
Total Investments |
96.8 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) |
3.2 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of September 30, 2015 (Unaudited)
ASG Tactical U.S. Market Fund
Shares |
Description |
Value () |
||||||
|
Common Stocks 49.9% of Net Assets |
| ||||||
Aerospace & Defense 1.6% |
||||||||
2,196 | Boeing Co. (The) |
$ | 287,566 | |||||
2,010 | General Dynamics Corp. |
277,280 | ||||||
2,675 | Honeywell International, Inc. |
253,296 | ||||||
1,078 | Northrop Grumman Corp. |
178,894 | ||||||
979 | Rockwell Collins, Inc. |
80,121 | ||||||
7,880 | United Technologies Corp. |
701,241 | ||||||
|
|
|||||||
1,778,398 | ||||||||
|
|
|||||||
Air Freight & Logistics 0.4% |
||||||||
827 | FedEx Corp. |
119,071 | ||||||
2,992 | United Parcel Service, Inc., Class B |
295,281 | ||||||
|
|
|||||||
414,352 | ||||||||
|
|
|||||||
Airlines 0.4% |
||||||||
9,845 | American Airlines Group, Inc. |
382,281 | ||||||
|
|
|||||||
Auto Components 0.1% |
||||||||
3,866 | Goodyear Tire & Rubber Co. (The) |
113,390 | ||||||
|
|
|||||||
Banks 3.0% |
||||||||
14,514 | Bank of America Corp. |
226,128 | ||||||
6,025 | Citigroup, Inc. |
298,900 | ||||||
25,104 | JPMorgan Chase & Co. |
1,530,591 | ||||||
19,712 | Peoples United Financial, Inc. |
310,070 | ||||||
2,254 | PNC Financial Services Group, Inc. (The) |
201,057 | ||||||
4,410 | U.S. Bancorp |
180,854 | ||||||
9,822 | Wells Fargo & Co. |
504,360 | ||||||
|
|
|||||||
3,251,960 | ||||||||
|
|
|||||||
Beverages 1.1% |
||||||||
3,742 | Coca-Cola Co. (The) |
150,129 | ||||||
6,715 | Coca-Cola Enterprises, Inc. |
324,670 | ||||||
1,790 | Dr Pepper Snapple Group, Inc. |
141,500 | ||||||
6,404 | PepsiCo, Inc. |
603,897 | ||||||
|
|
|||||||
1,220,196 | ||||||||
|
|
|||||||
Biotechnology 2.1% |
||||||||
3,926 | AbbVie, Inc. |
213,614 | ||||||
2,345 | Amgen, Inc. |
324,360 | ||||||
515 | Biogen, Inc.(b) |
150,282 | ||||||
7,475 | Celgene Corp.(b) |
808,571 | ||||||
3,036 | Gilead Sciences, Inc. |
298,105 | ||||||
1,088 | Regeneron Pharmaceuticals, Inc.(b) |
506,072 | ||||||
|
|
|||||||
2,301,004 | ||||||||
|
|
|||||||
Capital Markets 1.0% |
||||||||
5,844 | Bank of New York Mellon Corp. (The) |
228,793 | ||||||
1,620 | BlackRock, Inc. |
481,901 | ||||||
8,971 | Franklin Resources, Inc. |
334,259 | ||||||
|
|
|||||||
1,044,953 | ||||||||
|
|
Shares |
Description |
Value () |
||||||
|
Common Stocks continued |
| ||||||
Chemicals 1.1% |
||||||||
1,885 | Air Products & Chemicals, Inc. |
$ | 240,488 | |||||
3,386 | CF Industries Holdings, Inc. |
152,031 | ||||||
508 | Ecolab, Inc. |
55,738 | ||||||
3,277 | Monsanto Co. |
279,659 | ||||||
2,536 | PPG Industries, Inc. |
222,382 | ||||||
418 | Sherwin-Williams Co. (The) |
93,122 | ||||||
914 | Sigma-Aldrich Corp. |
126,973 | ||||||
|
|
|||||||
1,170,393 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.5% |
||||||||
3,125 | Cintas Corp. |
267,969 | ||||||
2,137 | Stericycle, Inc.(b) |
297,705 | ||||||
|
|
|||||||
565,674 | ||||||||
|
|
|||||||
Communications Equipment 0.3% |
||||||||
11,658 | Cisco Systems, Inc. |
306,023 | ||||||
|
|
|||||||
Construction & Engineering 0.2% |
||||||||
5,950 | Fluor Corp. |
251,983 | ||||||
|
|
|||||||
Containers & Packaging 0.1% |
||||||||
1,305 | Sealed Air Corp. |
61,178 | ||||||
|
|
|||||||
Diversified Financial Services 1.0% |
||||||||
3,270 | Berkshire Hathaway, Inc., Class B(b) |
426,408 | ||||||
1,863 | CME Group, Inc. |
172,775 | ||||||
1,764 | McGraw Hill Financial, Inc. |
152,586 | ||||||
3,701 | Moodys Corp. |
363,438 | ||||||
|
|
|||||||
1,115,207 | ||||||||
|
|
|||||||
Diversified Telecommunication Services 1.2% |
||||||||
4,983 | AT&T, Inc. |
162,346 | ||||||
182,004 | Frontier Communications Corp. |
864,519 | ||||||
5,346 | Verizon Communications, Inc. |
232,605 | ||||||
|
|
|||||||
1,259,470 | ||||||||
|
|
|||||||
Electric Utilities 0.8% |
||||||||
1,514 | American Electric Power Co., Inc. |
86,086 | ||||||
1,583 | Duke Energy Corp. |
113,881 | ||||||
9,148 | Eversource Energy |
463,072 | ||||||
679 | NextEra Energy, Inc. |
66,236 | ||||||
3,945 | PPL Corp. |
129,751 | ||||||
|
|
|||||||
859,026 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.1% |
||||||||
1,860 | TE Connectivity Ltd. |
111,395 | ||||||
|
|
|||||||
Energy Equipment & Services 0.1% |
||||||||
2,773 | Halliburton Co. |
98,026 | ||||||
|
|
|||||||
Food & Staples Retailing 1.2% |
||||||||
7,606 | CVS Health Corp. |
733,827 | ||||||
7,327 | Walgreens Boots Alliance, Inc. |
608,874 | ||||||
|
|
|||||||
1,342,701 | ||||||||
|
|
Shares |
Description |
Value () |
||||||
|
Common Stocks continued |
| ||||||
Food Products 0.7% |
||||||||
2,814 | Archer-Daniels-Midland Co. |
$ | 116,640 | |||||
371 | Mead Johnson Nutrition Co. |
26,119 | ||||||
14,455 | Mondelez International, Inc., Class A |
605,231 | ||||||
|
|
|||||||
747,990 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 1.0% |
||||||||
2,135 | CR Bard, Inc. |
397,772 | ||||||
3,626 | Medtronic PLC |
242,724 | ||||||
6,295 | St. Jude Medical, Inc. |
397,152 | ||||||
|
|
|||||||
1,037,648 | ||||||||
|
|
|||||||
Health Care Providers & Services 1.0% |
||||||||
4,927 | Aetna, Inc. |
539,063 | ||||||
1,584 | DaVita HealthCare Partners, Inc.(b) |
114,571 | ||||||
1,563 | Humana, Inc. |
279,777 | ||||||
720 | McKesson Corp. |
133,221 | ||||||
|
|
|||||||
1,066,632 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 1.2% |
||||||||
234 | Chipotle Mexican Grill, Inc.(b) |
168,539 | ||||||
3,593 | McDonalds Corp. |
354,018 | ||||||
7,087 | Starbucks Corp. |
402,825 | ||||||
2,325 | Starwood Hotels & Resorts Worldwide, Inc. |
154,566 | ||||||
3,210 | Yum! Brands, Inc. |
256,639 | ||||||
|
|
|||||||
1,336,587 | ||||||||
|
|
|||||||
Household Durables 0.3% |
||||||||
3,106 | Lennar Corp., Class A |
149,492 | ||||||
7,520 | PulteGroup, Inc. |
141,902 | ||||||
|
|
|||||||
291,394 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.7% |
||||||||
1,397 | 3M Co. |
198,053 | ||||||
2,836 | Danaher Corp. |
241,655 | ||||||
13,968 | General Electric Co. |
352,273 | ||||||
|
|
|||||||
791,981 | ||||||||
|
|
|||||||
Insurance 1.4% |
||||||||
4,091 | Assurant, Inc. |
323,230 | ||||||
3,532 | Chubb Corp. (The) |
433,200 | ||||||
1,288 | Lincoln National Corp. |
61,129 | ||||||
1,415 | Principal Financial Group, Inc. |
66,986 | ||||||
5,433 | Torchmark Corp. |
306,421 | ||||||
9,094 | XL Group PLC |
330,294 | ||||||
|
|
|||||||
1,521,260 | ||||||||
|
|
|||||||
Internet & Catalog Retail 1.1% |
||||||||
1,690 | Amazon.com, Inc.(b) |
865,094 | ||||||
298 | Priceline Group, Inc. (The)(b) |
368,584 | ||||||
|
|
|||||||
1,233,678 | ||||||||
|
|
|||||||
Internet Software & Services 2.4% |
||||||||
9,796 | Facebook, Inc., Class A(b) |
880,661 | ||||||
1,376 | Google, Inc., Class A(b) |
878,397 |
Shares |
Description |
Value () |
||||||
|
Common Stocks continued |
| ||||||
Internet Software & Services continued |
||||||||
1,389 | Google, Inc., Class C(b) |
$ | 845,095 | |||||
|
|
|||||||
2,604,153 | ||||||||
|
|
|||||||
IT Services 1.6% |
||||||||
2,826 | Accenture PLC, Class A |
277,683 | ||||||
4,565 | Automatic Data Processing, Inc. |
366,843 | ||||||
5,448 | Cognizant Technology Solutions Corp., Class A(b) |
341,099 | ||||||
1,496 | Paychex, Inc. |
71,255 | ||||||
10,002 | Visa, Inc., Class A |
696,739 | ||||||
|
|
|||||||
1,753,619 | ||||||||
|
|
|||||||
Machinery 0.4% |
||||||||
2,925 | Cummins, Inc. |
317,596 | ||||||
1,292 | Illinois Tool Works, Inc. |
106,345 | ||||||
|
|
|||||||
423,941 | ||||||||
|
|
|||||||
Media 1.3% |
||||||||
4,561 | CBS Corp., Class B |
181,984 | ||||||
6,471 | Comcast Corp., Class A |
368,071 | ||||||
5,766 | Discovery Communications, Inc., Series C(b) |
140,056 | ||||||
1,374 | Time Warner Cable, Inc. |
246,454 | ||||||
1,536 | Time Warner, Inc. |
105,600 | ||||||
3,924 | Walt Disney Co. (The) |
401,033 | ||||||
|
|
|||||||
1,443,198 | ||||||||
|
|
|||||||
Metals & Mining 0.2% |
||||||||
10,064 | Newmont Mining Corp. |
161,729 | ||||||
|
|
|||||||
Multi-Utilities 0.8% |
||||||||
1,829 | CMS Energy Corp. |
64,600 | ||||||
7,422 | Consolidated Edison, Inc. |
496,161 | ||||||
2,712 | Dominion Resources, Inc. |
190,870 | ||||||
1,716 | NiSource, Inc. |
31,832 | ||||||
1,585 | PG&E Corp. |
83,688 | ||||||
|
|
|||||||
867,151 | ||||||||
|
|
|||||||
Multiline Retail 0.1% |
||||||||
972 | Nordstrom, Inc. |
69,702 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 3.3% |
||||||||
7,409 | Apache Corp. |
290,136 | ||||||
13,389 | Chevron Corp. |
1,056,124 | ||||||
3,373 | Cimarex Energy Co. |
345,665 | ||||||
1,716 | Columbia Pipeline Group, Inc. |
31,386 | ||||||
12,712 | ConocoPhillips |
609,668 | ||||||
9,539 | Devon Energy Corp. |
353,802 | ||||||
1,438 | EOG Resources, Inc. |
104,686 | ||||||
2,766 | Kinder Morgan, Inc. |
76,563 | ||||||
1,064 | Marathon Petroleum Corp. |
49,295 | ||||||
6,664 | Phillips 66 |
512,062 | ||||||
3,035 | Valero Energy Corp. |
182,403 | ||||||
|
|
|||||||
3,611,790 | ||||||||
|
|
Shares |
Description |
Value () |
||||||
|
Common Stocks continued |
| ||||||
Pharmaceuticals 3.4% |
||||||||
3,419 | Allergan PLC(b) |
$ | 929,318 | |||||
5,373 | Bristol-Myers Squibb Co. |
318,082 | ||||||
4,064 | Johnson & Johnson |
379,375 | ||||||
22,883 | Merck & Co., Inc. |
1,130,191 | ||||||
16,878 | Pfizer, Inc. |
530,138 | ||||||
10,200 | Zoetis, Inc. |
420,036 | ||||||
|
|
|||||||
3,707,140 | ||||||||
|
|
|||||||
Professional Services 0.3% |
||||||||
2,941 | Equifax, Inc. |
285,806 | ||||||
|
|
|||||||
REITs - Apartments 0.4% |
||||||||
2,394 | AvalonBay Communities, Inc. |
418,519 | ||||||
|
|
|||||||
REITs - Diversified 0.5% |
||||||||
1,960 | American Tower Corp. |
172,441 | ||||||
4,095 | Vornado Realty Trust |
370,270 | ||||||
|
|
|||||||
542,711 | ||||||||
|
|
|||||||
REITs - Regional Malls 0.6% |
||||||||
3,271 | Simon Property Group, Inc. |
600,948 | ||||||
|
|
|||||||
REITs - Storage 0.4% |
||||||||
2,158 | Public Storage |
456,698 | ||||||
|
|
|||||||
Road & Rail 0.5% |
||||||||
14,026 | CSX Corp. |
377,299 | ||||||
1,702 | Union Pacific Corp. |
150,474 | ||||||
|
|
|||||||
527,773 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 1.5% |
||||||||
2,616 | Analog Devices, Inc. |
147,568 | ||||||
7,409 | Broadcom Corp., Class A |
381,045 | ||||||
26,699 | Intel Corp. |
804,708 | ||||||
1,006 | Lam Research Corp. |
65,722 | ||||||
6,112 | Linear Technology Corp. |
246,619 | ||||||
|
|
|||||||
1,645,662 | ||||||||
|
|
|||||||
Software 2.9% |
||||||||
4,476 | Adobe Systems, Inc.(b) |
368,017 | ||||||
38,162 | Microsoft Corp. |
1,689,050 | ||||||
18,653 | Oracle Corp. |
673,746 | ||||||
5,230 | Salesforce.com, Inc.(b) |
363,119 | ||||||
|
|
|||||||
3,093,932 | ||||||||
|
|
|||||||
Specialty Retail 1.7% |
||||||||
238 | AutoZone, Inc.(b) |
172,272 | ||||||
2,585 | Bed Bath & Beyond, Inc.(b) |
147,397 | ||||||
5,423 | Home Depot, Inc. (The) |
626,302 | ||||||
5,359 | Lowes Cos., Inc. |
369,342 | ||||||
675 | OReilly Automotive, Inc.(b) |
168,750 | ||||||
4,365 | TJX Cos., Inc. (The) |
311,748 | ||||||
|
|
|||||||
1,795,811 | ||||||||
|
|
Shares |
Description |
Value () |
||||||
|
Common Stocks continued |
| ||||||
Technology Hardware, Storage & Peripherals 1.4% |
||||||||
10,424 | Apple, Inc. |
$ | 1,149,767 | |||||
14,554 | Hewlett-Packard Co. |
372,728 | ||||||
|
|
|||||||
1,522,495 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 0.6% |
||||||||
3,774 | NIKE, Inc., Class B |
464,089 | ||||||
1,713 | Under Armour, Inc., Class A(b) |
165,784 | ||||||
|
|
|||||||
629,873 | ||||||||
|
|
|||||||
Thrifts & Mortgage Finance 0.1% |
||||||||
6,681 | Hudson City Bancorp, Inc. |
67,946 | ||||||
|
|
|||||||
Tobacco 1.8% |
||||||||
14,470 | Altria Group, Inc. |
787,168 | ||||||
10,730 | Philip Morris International, Inc. |
851,211 | ||||||
7,522 | Reynolds American, Inc. |
332,999 | ||||||
|
|
|||||||
1,971,378 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $54,069,799) |
53,876,755 | |||||||
|
|
Principal |
||||||||
|
Short-Term Investments 39.1% |
| ||||||
Certificates of Deposit 33.0% |
||||||||
$ | 1,900,000 | National Bank of Kuwait, 0.080%, 10/01/2015 (c) |
1,900,000 | |||||
1,800,000 | Credit Agricole Corporate & Investment Bank, 0.140%, 10/01/2015 |
1,800,004 | ||||||
1,700,000 | Bank of Tokyo-Mitsubishi UFJ Ltd., 0.150%, 10/01/2015 |
1,700,000 | ||||||
650,000 | Svenska Handelsbanken (NY), 0.235%, 10/02/2015 |
650,005 | ||||||
1,300,000 | Svenska Handelsbanken (NY), 0.210%, 10/05/2015 |
1,300,018 | ||||||
500,000 | Standard Chartered Bank (NY), 0.320%, 10/05/2015 |
500,013 | ||||||
1,000,000 | Oversea-Chinese Banking Corp. Ltd., 0.220%, 10/09/2015 |
1,000,005 | ||||||
900,000 | Mizuho Bank Ltd., 0.270%, 10/15/2015 |
900,038 | ||||||
1,200,000 | Banco Del Estado de Chile, 0.306%, 10/20/2015 (c)(e) |
1,199,983 | ||||||
1,500,000 | Skandinaviska Enskilda Banken (NY), 0.289%, 11/05/2015 (c)(d) |
1,499,974 | ||||||
800,000 | Wells Fargo, 0.299%, 11/06/2015 (c)(d) |
799,986 | ||||||
1,000,000 | Standard Chartered Bank (NY), 0.356%, 11/10/2015 (c)(d) |
1,000,151 | ||||||
1,000,000 | Landesbank Hessen Thueringen Girozentrale, 0.160%, 11/12/2015 |
999,995 | ||||||
1,500,000 | DNB Bank ASA, 0.250%, 11/13/2015 |
1,500,267 |
Principal |
Description |
Value () |
||||||
|
Short-Term Investments continued |
| ||||||
Certificates of Deposit continued |
||||||||
$ | 1,900,000 | Credit Industriel et Commercial, 0.200%, 11/20/2015 |
$ | 1,900,076 | ||||
1,000,000 | Norinchukin Bank, 0.220%, 11/20/2015 |
1,000,007 | ||||||
1,500,000 | State Street Bank and Trust Company, 0.275%, 11/23/2015 (c) |
1,499,950 | ||||||
1,200,000 | Bank of Nova Scotia (TX), 0.289%, 12/07/2015 (c) |
1,199,959 | ||||||
800,000 | Sumitomo Mitsui Bank (NY), 0.360%, 1/04/2016 |
800,072 | ||||||
1,100,000 | Sumitomo Mitsui Bank (NY), 0.394%, 1/04/2016 (c) |
1,099,937 | ||||||
1,500,000 | Bank of Montreal (IL), 0.309%, 1/08/2016 (c)(d) |
1,499,955 | ||||||
800,000 | Royal Bank of Canada, 0.306%, 1/13/2016 (c)(d) |
799,886 | ||||||
1,400,000 | National Bank of Canada, 0.480%, 1/13/2016 |
1,400,591 | ||||||
400,000 | Bank of Montreal (IL), 0.366%, 1/14/2016 (c)(e) |
399,986 | ||||||
400,000 | State Street Bank and Trust Company, 0.367%, 1/15/2016 (c)(d) |
399,974 | ||||||
1,800,000 | DZ Bank (NY), 0.350%, 1/21/2016 |
1,800,011 | ||||||
1,900,000 | Toronto Dominion Bank, 0.500%, 1/27/2016 |
1,901,265 | ||||||
1,000,000 | Westpac Banking Corp. (NY), 0.329%, 2/08/2016 (c)(d) |
999,964 | ||||||
500,000 | Royal Bank of Canada, 0.315%, 2/23/2016 (c)(d) |
499,975 | ||||||
700,000 | Bank of Nova Scotia (TX), 0.396%, 4/01/2016 (c)(e) |
699,934 | ||||||
1,000,000 | Canadian Imperial Bank of Commerce, 0.461%, 5/17/2016 (c) |
999,883 | ||||||
|
|
|||||||
35,651,864 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 1.9% |
||||||||
1,000,000 | JPMorgan Securities LLC, 0.311%, 11/03/2015 (c)(e) |
999,984 | ||||||
500,000 | JPMorgan Securities LLC, 0.359%, 1/08/2016 (c)(e) |
499,973 | ||||||
500,000 | JPMorgan Securities LLC, 0.372%, 1/21/2016 (c)(d) |
499,983 | ||||||
|
|
|||||||
1,999,940 | ||||||||
|
|
|||||||
Other Notes 1.8% |
||||||||
1,900,000 | Bank of America N.A., 0.270%, 11/04/2015 (c) |
1,900,393 | ||||||
|
|
|||||||
Treasuries 1.5% |
||||||||
100,000 | U.S. Treasury Bills, 0.030%, 12/10/2015 (f) |
100,007 | ||||||
750,000 | U.S. Treasury Bills, 0.075%, 1/07/2016 (f) |
749,987 |
Principal |
Description |
Value () |
||||||
Short-Term Investments continued | ||||||||
Treasuries continued |
||||||||
$ | 750,000 | U.S. Treasury Bills, 0.015%, 11/19/2015 (f) |
$ | 750,015 | ||||
|
|
|||||||
Total Treasuries (Identified Cost $1,599,661) |
1,600,009 | |||||||
|
|
|||||||
Commercial Paper 0.9% |
||||||||
1,000,000 | Swedbank, 0.270%, 12/22/2015 |
999,477 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $42,149,270) |
42,151,683 | |||||||
|
|
|||||||
Total Investments 89.0% (Identified Cost $96,219,069)(a) |
$ | 96,028,438 | ||||||
Other assets less liabilities 11.0% |
11,927,859 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 107,956,297 | ||||||
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information: |
At September 30, 2015, the net unrealized depreciation on investments based on a cost of $96,219,069 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 1,828,737 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(2,019,368 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (190,631 | ) | |
|
|
(b) | Non-income producing security. |
(c) | Variable rate security. Rate as of September 30, 2015 is disclosed. |
(d) | All of this security has been designated to cover the Funds obligations under open futures contracts. |
(e) | A portion of this security has been designated to cover the Funds obligations under open futures contracts. |
(f) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
REITs | Real Estate Investment Trusts |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 2015, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
E-mini S&P 500® |
12/18/2015 | 2 | $ | 190,875 | $ | (3,105 | ) | |||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 53,876,755 | $ | | $ | | $ | 53,876,755 | ||||||||
Short-Term Investments* |
| 42,151,683 | | 42,151,683 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 53,876,755 | $ | 42,151,683 | $ | | $ | 96,028,438 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) |
$ | (3,105 | ) | $ | | $ | | $ | (3,105 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended September 30, 2015, there were no transfers among Levels 1, 2 and 3.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include futures contracts.
The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts to hedge against a decline in value of an equity security that it owns. The Fund may also use futures contracts to increase its exposure to the U.S. equity market or to manage volatility. During the period ended September 30, 2015, the Fund used long contracts on U.S. equity market indices to gain investment exposure in accordance with its objectives.
The following is a summary of derivative instruments for the Fund, as of September 30, 2015:
Liabilities |
Unrealized depreciation on futures contracts |
|||
Exchange-traded liability derivatives |
||||
Equity contracts |
$ | (3,105 | ) |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund:
Maximum Amount of Loss - Gross |
||||
Exchange-traded counterparty credit risk |
||||
Margin with brokers |
$ | 518,509 | ||
|
|
Investment Summary at September 30, 2015 (Unaudited)
Pharmaceuticals |
3.4 | % | ||
Oil, Gas & Consumable Fuels |
3.3 | |||
Banks |
3.0 | |||
Software |
2.9 | |||
Internet Software & Services |
2.4 | |||
Biotechnology |
2.1 | |||
Other Investments, less than 2% each |
32.8 | |||
Short-Term Investments |
39.1 | |||
|
|
|||
Total Investments |
89.0 | |||
Other assets less liabilities (including futures contracts) |
11.0 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2015 (Unaudited)
Loomis Sayles Strategic Alpha Fund
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes 75.7% of Net Assets | ||||||||
Non-Convertible Bonds 73.3% | ||||||||
ABS Car Loan 1.5% |
||||||||
$ | 2,259,000 | AmeriCredit Automobile Receivables Trust, Series 2013-4, Class D, 3.310%, 10/08/2019(b) |
$ | 2,316,625 | ||||
2,450,000 | Flagship Credit Auto Trust, Series 2015-2, Class D, 5.980%, 8/15/2022, 144A |
2,479,711 | ||||||
2,280,000 | Ford Credit Auto Owner Trust, Series 2014-C, Class A3, 1.060%, 5/15/2019(b) |
2,282,417 | ||||||
2,810,000 | Ford Credit Auto Owner Trust, Series 2015-A, Class A3, 1.280%, 9/15/2019(b) |
2,818,084 | ||||||
3,350,000 | Ford Credit Auto Owner Trust/Ford Credit, Series 2015-C, Class A3, 1.410%, 2/15/2020 |
3,359,206 | ||||||
2,455,000 | Honda Auto Receivables Owner Trust, Series 2014-4, Class A3, 0.990%, 9/17/2018(c) |
2,453,915 | ||||||
3,385,000 | Honda Auto Receivables Owner Trust, Series 2015-3, Class A3, 1.270%, 4/18/2019 |
3,395,602 | ||||||
3,215,000 | Toyota Auto Receivables Owner Trust, Series 2015-C, Class A3, 1.340%, 6/17/2019 |
3,227,988 | ||||||
|
|
|||||||
22,333,548 | ||||||||
|
|
|||||||
ABS Credit Card 4.1% |
||||||||
3,145,000 | American Express Credit Account Master Trust, Series 2013-1, Class A, 0.627%, 2/16/2021(c)(d) |
3,150,428 | ||||||
1,860,000 | American Express Credit Account Master Trust, Series 2013-3, Class A, 0.980%, 5/15/2019(c) |
1,863,690 | ||||||
1,015,000 | American Express Credit Account Master Trust, Series 2014-3, Class A, 1.490%, 4/15/2020(c) |
1,022,851 | ||||||
2,695,000 | American Express Credit Account Master Trust, Series 2014-4, Class A, 1.430%, 6/15/2020(c) |
2,709,561 | ||||||
2,295,000 | American Express Credit Account Master Trust, Series 2014-5, Class A, 0.497%, 5/15/2020(c)(d) |
2,290,344 | ||||||
2,050,000 | BA Credit Card Trust, Series 2014-A1, Class A, 0.587%, 6/15/2021(c)(d) |
2,050,800 | ||||||
3,075,000 | Capital One Multi-Asset Execution Trust, Series 2013-A3, Class A3, 0.960%, 9/16/2019(b) |
3,078,373 | ||||||
6,600,000 | Chase Issuance Trust, Series 2013-A8, Class A8, 1.010%, 10/15/2018(c) |
6,615,748 | ||||||
6,640,000 | Chase Issuance Trust, Series 2014-A7, Class A, 1.380%, 11/15/2019(c) |
6,680,092 | ||||||
3,780,000 | Chase Issuance Trust, Series 2014-A8, Class A, 0.457%, 11/15/2018(b)(d) |
3,777,736 | ||||||
3,560,000 | Chase Issuance Trust, Series 2015-A1, Class A, 0.527%, 2/18/2020(c)(d) |
3,557,173 | ||||||
4,230,000 | Chase Issuance Trust, Series 2015-A2, Class A, 1.590%, 2/18/2020(c) |
4,267,677 | ||||||
3,500,000 | Chase Issuance Trust, Series 2015-A4, Class A, 1.840%, 4/15/2022(b) |
3,497,200 | ||||||
3,165,000 | Citibank Credit Card Issuance Trust, Series 2013-A6, Class A6, 1.320%, 9/07/2018(c) |
3,180,458 | ||||||
5,825,000 | Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 0.633%, 9/10/2020(c)(d) |
5,830,831 | ||||||
3,000,000 | Citibank Credit Card Issuance Trust, Series 2014-A4, Class A4, 1.230%, 4/24/2019(b) |
3,010,209 |
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
ABS Credit Card continued |
||||||||
$ | 3,045,000 | Citibank Credit Card Issuance Trust, Series 2014-A8, Class A8, 1.730%, 4/09/2020(b) |
$ | 3,080,687 | ||||
|
|
|||||||
59,663,858 | ||||||||
|
|
|||||||
ABS Home Equity 11.7% |
||||||||
907,099 | Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 2.716%, 3/25/2035(c)(d) |
885,295 | ||||||
1,110,286 | Adjustable Rate Mortgage Trust, Series 2004-5, Class 5A1, 2.590%, 4/25/2035(c)(d) |
1,080,147 | ||||||
1,877,698 | Adjustable Rate Mortgage Trust, Series 2004-5, Class 6A1, 2.565%, 4/25/2035(c)(d) |
1,857,147 | ||||||
948,542 | Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033(c) |
987,102 | ||||||
781,718 | Alternative Loan Trust, Series 2003-9T1, Class A7, 5.500%, 7/25/2033 |
786,661 | ||||||
572,598 | Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035 |
580,128 | ||||||
1,660,858 | Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025 |
1,702,225 | ||||||
1,500,000 | American Homes 4 Rent, Series 2014-SFR1, Class E, 2.750%, 6/17/2031, 144A(d) |
1,440,540 | ||||||
300,000 | American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A |
308,033 | ||||||
1,980,000 | American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A |
2,060,970 | ||||||
1,200,000 | American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A |
1,262,849 | ||||||
1,299,057 | Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033(c) |
1,335,368 | ||||||
1,836,760 | Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033 |
1,878,844 | ||||||
1,113,849 | Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 |
1,165,337 | ||||||
1,471,299 | Banc of America Alternative Loan Trust, Series 2005-6, Class CB7, 5.250%, 7/25/2035 |
1,350,533 | ||||||
968,300 | Banc of America Funding Corp., Series 2007-4, Class 5A1, 5.500%, 11/25/2034 |
982,646 | ||||||
2,049,008 | Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.545%, 11/20/2034(d) |
1,975,764 | ||||||
742,326 | Banc of America Funding Trust, Series 2005-5, Class A1, 5.500%, 9/25/2035(b) |
774,231 | ||||||
1,390,238 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035 |
1,424,773 | ||||||
2,839,188 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-6, Class 2A1, 2.934%, 9/25/2034(d) |
2,738,105 | ||||||
1,468,342 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12, Class 11A1, 3.018%, 2/25/2036(d) |
1,154,504 | ||||||
1,326,108 | Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036 |
1,339,174 | ||||||
858,057 | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.617%, 5/25/2035(d) |
835,416 | ||||||
3,461,725 | Citigroup Mortgage Loan Trust, Inc., Series 2005-3, Class 2A3, 2.734%, 8/25/2035(d) |
3,359,894 | ||||||
3,582,636 | Citigroup Mortgage Loan Trust, Inc., Series 2014-11, Class 2A1, 0.331%, 8/25/2036, 144A(d) |
3,307,933 |
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
ABS Home Equity continued |
||||||||
$ | 3,185,690 | Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 1A1, 0.399%, 6/25/2047, 144A(c)(d) |
$ | 2,947,343 | ||||
2,488,592 | CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A1, 6.000%, 9/25/2036 |
2,231,210 | ||||||
400,000 | Colony American Homes, Series 2014-2A, Class E, 3.407%, 7/17/2031, 144A(d) |
388,494 | ||||||
1,855,000 | Colony American Homes, Series 2014-1A, Class C, 2.100%, 5/17/2031, 144A(c)(d) |
1,813,283 | ||||||
1,280,000 | Colony American Homes, Series 2015-1A, Class D, 2.357%, 7/17/2032, 144A(c)(d) |
1,233,041 | ||||||
996,369 | Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034 |
1,052,941 | ||||||
3,569,813 | Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034 |
3,560,335 | ||||||
984,041 | Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034(c) |
1,015,201 | ||||||
44,544 | Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.391%, 8/25/2034(d)(e) |
43,833 | ||||||
1,103,222 | Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.404%, 5/25/2035(d) |
910,795 | ||||||
811,856 | Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036 |
789,147 | ||||||
705,341 | Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037 |
638,170 | ||||||
1,198,578 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-12, Class 8A1, 2.880%, 8/25/2034(d) |
1,052,070 | ||||||
186,894 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.575%, 9/20/2034(d) |
178,404 | ||||||
440,522 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.464%, 4/25/2035(d) |
382,616 | ||||||
1,304,533 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-21, Class A17, 5.500%, 10/25/2035 |
1,220,490 | ||||||
859,966 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 2.577%, 11/25/2033(c)(d) |
826,396 | ||||||
552,208 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 2.598%, 12/25/2033(d)(e) |
541,813 | ||||||
2,317,584 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR3, Class 3A1, 2.661%, 5/25/2034(c)(d) |
2,255,227 | ||||||
1,024,813 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035 |
942,942 | ||||||
539,399 | Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021 |
459,190 | ||||||
504,586 | Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-3, Class 4A4, 5.250%, 6/25/2035 |
507,052 | ||||||
975,610 | Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-5, Class 1A4, 5.500%, 11/25/2035(d) |
931,941 | ||||||
465,684 | FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/2018, 144A |
466,609 | ||||||
500,000 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 4.444%, 11/25/2023(d) |
499,738 |
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
ABS Home Equity continued |
||||||||
$ | 2,015,000 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN1, Class M2, 2.394%, 2/25/2024(c)(d) |
$ | 2,029,480 | ||||
1,785,000 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M2, 1.844%, 4/25/2024(c)(d) |
1,770,631 | ||||||
2,585,000 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 2.044%, 10/25/2027(d) |
2,572,445 | ||||||
154,123 | GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033 |
154,866 | ||||||
1,784,152 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.874%, 6/19/2035(d) |
1,730,410 | ||||||
682,981 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.165%, 7/19/2035(d) |
647,058 | ||||||
259,952 | GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.843%, 12/25/2034(d) |
250,636 | ||||||
1,480,664 | GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.858%, 12/25/2034(b)(d) |
1,469,015 | ||||||
611,402 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 2.602%, 7/25/2035(d) |
576,977 | ||||||
2,227,242 | GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.809%, 9/25/2035(c)(d) |
2,248,243 | ||||||
1,431,334 | GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036 |
1,190,353 | ||||||
1,127,764 | IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.974%, 12/25/2034(d) |
958,162 | ||||||
2,307,332 | IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.834%, 7/25/2045(d) |
1,995,559 | ||||||
3,035,000 | Invitation Homes Trust, Series 2014-SFR1, Class B, 1.707%, 6/17/2031, 144A(c)(d) |
2,964,731 | ||||||
860,000 | Invitation Homes Trust, Series 2015-SFR1, Class E, 4.407%, 3/17/2032, 144A(d) |
859,997 | ||||||
2,726,019 | JPMorgan Alternative Loan Trust, Series 2006-A1, Class 3A1, 2.479%, 3/25/2036(d) |
2,358,235 | ||||||
1,047,167 | JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1, 1.993%, 11/25/2033(c)(d) |
1,044,973 | ||||||
2,129,300 | JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 2.389%, 4/25/2035(d) |
2,062,614 | ||||||
732,545 | JPMorgan Mortgage Trust, Series 2005-A3, Class 4A1, 2.719%, 6/25/2035(b)(d) |
739,691 | ||||||
2,526,287 | JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9, 6.000%, 1/25/2036 |
2,222,307 | ||||||
1,624,310 | JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 2.536%, 2/25/2036(d) |
1,435,257 | ||||||
3,121,659 | JPMorgan Mortgage Trust, Series 2006-A7, Class 2A4, 2.617%, 1/25/2037(d) |
2,738,385 | ||||||
2,484,869 | JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.750%, 3/25/2037 |
2,042,630 | ||||||
66 | Lehman XS Trust, Series 2006-12N, Class A2A1, 0.344%, 8/25/2046(d)(e) |
65 | ||||||
2,329,609 | Lehman XS Trust, Series 2006-4N, Class A2A, 0.414%, 4/25/2046(d) |
1,673,286 | ||||||
445,183 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 2.572%, 5/25/2034(d)(e) |
429,106 |
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
ABS Home Equity continued |
||||||||
$ | 2,366,007 | MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 2.614%, 7/25/2034(d) |
$ | 2,295,341 | ||||
543,699 | MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.701%, 4/25/2036(d) |
523,503 | ||||||
795,563 | MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(c) |
825,246 | ||||||
156,753 | MASTR Alternative Loan Trust, Series 2004-12, Class 6A2, 5.250%, 12/25/2034(e) |
155,220 | ||||||
831,379 | MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(c) |
866,980 | ||||||
1,003,976 | MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(c) |
1,042,363 | ||||||
2,553,762 | MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034 |
2,678,709 | ||||||
1,676,467 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A8, 6.000%, 3/25/2037 |
1,275,075 | ||||||
341,039 | MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.171%, 5/25/2036(d) |
338,083 | ||||||
955,509 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035(e) |
898,062 | ||||||
1,993,326 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035 |
2,025,959 | ||||||
2,920,631 | National City Mortgage Capital Trust, Series 2008-1, Class 2A1, 6.000%, 3/25/2038 |
3,059,793 | ||||||
2,253,598 | Oak Hill Advisors Residential Loan Trust, Series 15-NPL2 Class A1, 3.721%, 7/25/2055, 144A(d) |
2,244,250 | ||||||
681,646 | Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.553%, 10/25/2035(c)(d) |
678,706 | ||||||
2,127,543 | Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035 |
1,905,506 | ||||||
785,064 | Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036 |
806,525 | ||||||
939,132 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.756%, 9/25/2034(b)(d) |
929,556 | ||||||
5,517,366 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 2A, 2.514%, 11/25/2034(c)(d) |
5,572,325 | ||||||
1,683,130 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 1A, 2.362%, 6/25/2034(c)(d) |
1,641,828 | ||||||
643,004 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.504%, 7/25/2035(d) |
463,808 | ||||||
1,180,668 | Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034(b) |
1,229,943 | ||||||
590,398 | Structured Asset Securities Corp. Trust, Series 2005-1, Class 7A7, 5.500%, 2/25/2035 |
602,363 | ||||||
3,207,623 | U.S. Residential Opportunity Fund Trust, Series 2015-1III, Class A, 3.721%, 1/27/2035, 144A(c) |
3,202,722 | ||||||
2,433,451 | U.S. Residential Opportunity Fund Trust, Series 2015-1IV, Class A, 3.721%, 2/27/2035, 144A(c) |
2,429,776 | ||||||
5,923,957 | VOLT XXII LLC, Series 2015-NPL4, Class A1, 3.500%, 2/25/2055, 144A(b)(d) |
5,911,054 | ||||||
1,985,921 | VOLT XXX LLC, Series 2015-NPL1, Class A1, 3.625%, 10/25/2057, 144A(b)(d) |
1,983,078 | ||||||
1,540,472 | VOLT XXXI LLC, Series 2015-NPL2, Class A1, 3.375%, 2/25/2055, 144A(c)(d) |
1,535,208 |
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
ABS Home Equity continued |
||||||||
$ | 600,494 | WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034(b) |
$ | 623,896 | ||||
5,291,740 | WaMu Mortgage Pass Through Certificates, Series 2005-AR7, Class A3, 2.485%, 8/25/2035(d) |
5,283,739 | ||||||
1,226,021 | WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.159%, 9/25/2046(d) |
1,116,062 | ||||||
3,519,871 | WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.909%, 1/25/2047(d) |
3,172,154 | ||||||
2,270,552 | WaMu Mortgage Pass Through Certificates, Series 2007-HY5, Class 2A3, 2.043%, 5/25/2037(d) |
1,964,266 | ||||||
3,574,907 | WaMu Mortgage Pass Through Certificates Trust, Series 2005-AR10, Class 1A3, 2.499%, 9/25/2035(d) |
3,452,706 | ||||||
322,083 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 2.739%, 10/25/2033(d) |
323,875 | ||||||
1,059,514 | Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 2.654%, 2/25/2034(b)(d) |
1,060,290 | ||||||
574,701 | Wells Fargo Mortgage Backed Securities Trust, Series 2004-O, Class A1, 2.737%, 8/25/2034(b)(d) |
572,727 | ||||||
393,414 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035 |
408,224 | ||||||
506,337 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035 |
515,995 | ||||||
1,664,026 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036 |
1,702,074 | ||||||
782,726 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.685%, 6/25/2035(b)(d) |
788,113 | ||||||
|
|
|||||||
169,732,115 | ||||||||
|
|
|||||||
ABS Other 3.0% |
||||||||
4,671,875 | AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(c)(d) |
4,702,943 | ||||||
3,312,037 | Cronos Containers Program I Ltd., 3.270%, 11/18/2029, 144A(c) |
3,369,309 | ||||||
880,584 | Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A(c) |
895,891 | ||||||
2,117,143 | GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(e)(f) |
2,117,143 | ||||||
769,048 | GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(e)(f) |
769,048 | ||||||
3,410,000 | GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(e)(f)(g) |
1,948,639 | ||||||
5,700,000 | GE Accounts Receivable Funding, 6.992%, 8/24/2017, 144A(e)(f) |
5,700,000 | ||||||
1,464,313 | Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(c) |
1,481,822 | ||||||
3,120,000 | OneMain Financial Issuance Trust, 4.160%, 11/20/2028, 144A |
3,119,336 | ||||||
1,495,000 | OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A(c) |
1,494,994 | ||||||
730,000 | OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A(b) |
729,943 | ||||||
745,000 | OneMain Financial Issuance Trust, Series 2014-2A, Class B, 3.020%, 9/18/2024, 144A(b) |
747,652 | ||||||
6,475,000 | OneMain Financial Issuance Trust, Series 2014-2A, Class D, 5.310%, 9/18/2024, 144A |
6,434,725 |
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
ABS Other continued |
||||||||
$ | 1,265,000 | OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A(b) |
$ | 1,277,749 | ||||
264,866 | Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A |
266,740 | ||||||
1,046,966 | Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A(c) |
1,039,395 | ||||||
2,150,881 | Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A(c) |
2,161,190 | ||||||
1,895,000 | Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A(b) |
1,895,811 | ||||||
3,029,833 | TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(c) |
3,038,175 | ||||||
|
|
|||||||
43,190,505 | ||||||||
|
|
|||||||
ABS Student Loan 0.2% |
||||||||
478,042 | SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 1.444%, 8/25/2032, 144A(c)(d) |
474,691 | ||||||
2,419,133 | SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1.394%, 3/25/2033, 144A(c)(d) |
2,397,518 | ||||||
|
|
|||||||
2,872,209 | ||||||||
|
|
|||||||
Aerospace & Defense 0.9% |
||||||||
2,340,000 | KLX, Inc., 5.875%, 12/01/2022, 144A |
2,276,375 | ||||||
6,003,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A |
5,762,880 | ||||||
825,000 | Rockwell Collins, Inc., 0.687%, 12/15/2016(c)(d) |
823,588 | ||||||
5,905,000 | Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A |
4,738,763 | ||||||
|
|
|||||||
13,601,606 | ||||||||
|
|
|||||||
Airlines 1.9% |
||||||||
28,340,000 | Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025, 144A(c) |
27,031,259 | ||||||
|
|
|||||||
Automotive 3.4% |
||||||||
3,700,000 | American Honda Finance Corp., Series MTN, 0.777%, 9/20/2017 (d) |
3,700,041 | ||||||
6,590,000 | Daimler Finance North America LLC, 0.980%, 8/01/2016, 144A(c)(d) |
6,587,186 | ||||||
5,250,000 | Ford Motor Credit Co. LLC, 1.561%, 5/09/2016(c)(d) |
5,266,548 | ||||||
6,100,000 | Hyundai Capital Services, Inc., 1.140%, 3/18/2017, 144A(c)(d) |
6,085,677 | ||||||
5,960,000 | Nissan Motor Acceptance Corp., 0.884%, 3/03/2017, 144A(c)(d) |
5,941,739 | ||||||
6,640,000 | Nissan Motor Acceptance Corp., 1.026%, 9/26/2016, 144A(c)(d) |
6,640,511 | ||||||
10,650,000 | Toyota Motor Credit Corp., 0.611%, 5/17/2016(c)(d) |
10,659,713 | ||||||
3,210,000 | Volkswagen International Finance NV, 0.765%, 11/18/2016, 144A(b)(d) |
3,119,019 |
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Automotive continued |
||||||||
$ | 1,295,000 | ZF North America Capital, Inc., 4.500%, 4/29/2022, 144A |
$ | 1,223,775 | ||||
|
|
|||||||
49,224,209 | ||||||||
|
|
|||||||
Banking 6.5% |
||||||||
10,625,000 | Ally Financial, Inc., 4.125%, 3/30/2020 |
10,505,469 | ||||||
3,310,000 | Bank of America Corp., 1.329%, 1/15/2019(c)(d) |
3,335,394 | ||||||
6,825,000 | Bank of America Corp., MTN, 4.200%, 8/26/2024(c) |
6,820,113 | ||||||
3,080,000 | Bank of America Corp., Series L, MTN, 3.950%, 4/21/2025(c) |
2,996,332 | ||||||
7,260,000 | Bank of Tokyo-Mitsubishi UFJ Ltd., 1.356%, 9/14/2018, 144A(d) |
7,276,894 | ||||||
12,955,000 | Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A(c) |
12,783,968 | ||||||
7,200,000 | Morgan Stanley, 4.350%, 9/08/2026(c) |
7,237,051 | ||||||
5,730,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022 |
6,201,052 | ||||||
5,990,000 | Royal Bank of Scotland Group PLC, (fixed rate to 8/10/2025, variable rate thereafter), 8.000%(h) |
6,034,925 | ||||||
12,840,000 | Santander Holdings USA, Inc., 4.500%, 7/17/2025 |
12,898,692 | ||||||
3,000,000 | Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A |
2,974,902 | ||||||
6,935,000 | Societe Generale S.A., (fixed rate to 12/18/2023, variable rate thereafter), 7.875%(h) |
6,770,294 | ||||||
8,400,000 | Societe Generale S.A., (fixed rate to 12/18/2023, variable rate thereafter), 7.875%, 144A(h) |
8,200,500 | ||||||
|
|
|||||||
94,035,586 | ||||||||
|
|
|||||||
Building Materials 0.8% |
||||||||
3,660,000 | Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A |
2,680,950 | ||||||
7,285,000 | Cemex SAB de CV, 6.125%, 5/05/2025, 144A |
6,629,350 | ||||||
890,000 | NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A |
932,275 | ||||||
1,790,000 | Owens Corning, 4.200%, 12/01/2024(c) |
1,778,186 | ||||||
|
|
|||||||
12,020,761 | ||||||||
|
|
|||||||
Cable Satellite 1.7% |
||||||||
4,045,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A |
3,729,085 | ||||||
4,035,000 | CCO Safari II LLC, 6.484%, 10/23/2045, 144A |
4,070,710 | ||||||
1,230,000 | CSC Holdings LLC, 5.250%, 6/01/2024 |
970,163 | ||||||
2,320,000 | CSC Holdings LLC, 6.750%, 11/15/2021 |
2,076,400 |
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Cable Satellite continued |
||||||||
$ | 3,440,000 | DISH DBS Corp., 5.875%, 7/15/2022 |
$ | 3,044,400 | ||||
5,650,000 | DISH DBS Corp., 5.875%, 11/15/2024 |
4,798,969 | ||||||
3,080,000 | DISH DBS Corp., 6.750%, 6/01/2021 |
2,966,410 | ||||||
1,225,000 | Neptune Finco Corp., 10.125%, 1/15/2023, 144A(i) |
1,238,781 | ||||||
860,000 | Neptune Finco Corp., 10.875%, 10/15/2025, 144A(i) |
869,675 | ||||||
2,065,000 | Time Warner Cable, Inc., 4.500%, 9/15/2042(c) |
1,632,636 | ||||||
|
|
|||||||
25,397,229 | ||||||||
|
|
|||||||
Chemicals 0.4% |
||||||||
2,596,000 | Albemarle Corp., 4.150%, 12/01/2024(c) |
2,604,167 | ||||||
3,170,000 | Hercules, Inc., 6.500%, 6/30/2029 |
2,924,325 | ||||||
|
|
|||||||
5,528,492 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 0.6% |
||||||||
1,047,156 | Chase Mortgage Finance Trust, Series 2007-A1, Class 11M1, 2.465%, 3/25/2037(d) |
973,133 | ||||||
61,403,683 | Government National Mortgage Association, Series 2012-135, Class IO, 0.688%, 1/16/2053(c)(d)(j) |
3,512,352 | ||||||
4,475,256 | Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A, 2.481%, 2/25/2036(d) |
4,357,516 | ||||||
|
|
|||||||
8,843,001 | ||||||||
|
|
|||||||
Construction Machinery 1.2% |
||||||||
17,660,000 | Caterpillar Financial Services Corp., MTN, 0.572%, 2/26/2016(c)(d) |
17,668,071 | ||||||
|
|
|||||||
Consumer Cyclical Services 0.2% |
||||||||
3,185,000 | Interval Acquisition Corp., 5.625%, 4/15/2023, 144A |
3,137,225 | ||||||
|
|
|||||||
Electric 1.5% |
||||||||
4,205,000 | Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)(c) |
961,809 | ||||||
5,600,000 | EDP Finance BV, 4.125%, 1/15/2020, 144A(c) |
5,676,250 | ||||||
12,170,000 | Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(b) |
13,961,667 | ||||||
1,275,000 | Talen Energy Supply LLC, 6.500%, 6/01/2025, 144A |
1,096,500 | ||||||
|
|
|||||||
21,696,226 | ||||||||
|
|
|||||||
Finance Companies 2.3% |
||||||||
2,300,000 | Air Lease Corp., 3.750%, 2/01/2022(c) |
2,287,872 | ||||||
8,365,000 | Air Lease Corp., 4.250%, 9/15/2024(c) |
8,197,700 |
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Finance Companies continued |
||||||||
$ | 2,510,000 | Aircastle Ltd., 5.500%, 2/15/2022 |
$ | 2,535,100 | ||||
3,005,000 | iStar, Inc., 4.000%, 11/01/2017 |
2,892,313 | ||||||
10,810,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A |
10,107,350 | ||||||
7,106,000 | Quicken Loans, Inc., 5.750%, 5/01/2025, 144A |
6,670,757 | ||||||
|
|
|||||||
32,691,092 | ||||||||
|
|
|||||||
Financial Other 0.5% |
||||||||
6,780,000 | Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A |
6,881,700 | ||||||
|
|
|||||||
Food & Beverage 0.9% |
||||||||
10,800,000 | BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(c) |
2,220,204 | ||||||
2,300,000 | Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL) |
453,560 | ||||||
3,500,000 | General Mills, Inc., 0.594%, 1/29/2016(c)(d) |
3,498,058 | ||||||
6,980,000 | PepsiCo, Inc., 0.539%, 7/17/2017(d) |
6,981,257 | ||||||
|
|
|||||||
13,153,079 | ||||||||
|
|
|||||||
Gaming 0.7% |
||||||||
10,215,000 | MGM Resorts International, 6.000%, 3/15/2023 |
9,921,319 | ||||||
|
|
|||||||
Government Owned - No Guarantee 1.7% |
||||||||
630,000 | Corporacion Financiera de Desarrollo S.A., 3.250%, 7/15/2019, 144A(c) |
630,472 | ||||||
1,240,000 | Corporacion Financiera de Desarrollo S.A., (fixed rate to 7/15/2024, variable rate thereafter), 5.250%, 7/15/2029, 144A(c) |
1,218,300 | ||||||
18,670,000,000 | Financiera de Desarrollo Territorial S.A. Findeter, 7.875%, 8/12/2024, 144A, (COP)(b) |
5,381,266 | ||||||
13,230,000 | Petrobras Global Finance BV, 5.625%, 5/20/2043(c) |
8,103,375 | ||||||
3,080,000 | Petrobras Global Finance BV, 6.750%, 1/27/2041 |
2,009,700 | ||||||
4,695,000 | Petrobras Global Finance BV, 6.875%, 1/20/2040 |
3,051,750 | ||||||
225,000 | Petrobras Global Finance BV, 7.250%, 3/17/2044 |
149,220 | ||||||
700,000 | () | Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(c) |
4,176,406 | |||||
|
|
|||||||
24,720,489 | ||||||||
|
|
|||||||
Independent Energy 3.4% |
||||||||
1,095,000 | Antero Resources Corp., 5.125%, 12/01/2022 |
941,700 | ||||||
150,000 | Baytex Energy Corp., 5.125%, 6/01/2021, 144A |
119,250 |
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Independent Energy continued |
||||||||
$ | 545,000 | Baytex Energy Corp., 5.625%, 6/01/2024, 144A |
$ | 430,550 | ||||
905,000 | Bonanza Creek Energy, Inc., 5.750%, 2/01/2023 |
588,250 | ||||||
240,000 | Bonanza Creek Energy, Inc., 6.750%, 4/15/2021 |
167,400 | ||||||
45,000 | California Resources Corp., 5.500%, 9/15/2021 |
27,450 | ||||||
4,235,000 | California Resources Corp., 6.000%, 11/15/2024 |
2,522,472 | ||||||
2,905,000 | Chesapeake Energy Corp., 4.875%, 4/15/2022 |
1,895,513 | ||||||
110,000 | Chesapeake Energy Corp., 6.125%, 2/15/2021 |
76,656 | ||||||
140,000 | Chesapeake Energy Corp., 6.625%, 8/15/2020 |
104,037 | ||||||
800,000 | Concho Resources, Inc., 5.500%, 10/01/2022 |
762,000 | ||||||
4,455,000 | Concho Resources, Inc., 5.500%, 4/01/2023 |
4,243,387 | ||||||
295,000 | Continental Resources, Inc., 3.800%, 6/01/2024 |
239,272 | ||||||
210,000 | Continental Resources, Inc., 4.500%, 4/15/2023 |
182,359 | ||||||
11,465,000 | Continental Resources, Inc., 5.000%, 9/15/2022(c) |
10,031,875 | ||||||
3,415,000 | Diamondback Energy, Inc., 7.625%, 10/01/2021 |
3,585,750 | ||||||
1,195,000 | Halcon Resources Corp., 8.625%, 2/01/2020, 144A |
993,344 | ||||||
4,519,000 | Matador Resources Co., 6.875%, 4/15/2023, 144A |
4,338,240 | ||||||
925,000 | MEG Energy Corp., 6.375%, 1/30/2023, 144A |
723,813 | ||||||
180,000 | MEG Energy Corp., 6.500%, 3/15/2021, 144A |
147,600 | ||||||
645,000 | MEG Energy Corp., 7.000%, 3/31/2024, 144A |
512,775 | ||||||
2,350,000 | Noble Energy, Inc., 5.625%, 5/01/2021 |
2,364,100 | ||||||
1,285,000 | Noble Energy, Inc., 5.875%, 6/01/2022 |
1,282,576 | ||||||
310,000 | Noble Energy, Inc., 5.875%, 6/01/2024 |
308,450 | ||||||
1,260,000 | Oasis Petroleum, Inc., 6.875%, 3/15/2022 |
998,298 | ||||||
7,460,000 | OGX Austria GmbH, 8.375%, 4/01/2022, 144A(k) |
380 | ||||||
4,420,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A(k) |
398 | ||||||
4,430,000 | RSP Permian, Inc., 6.625%, 10/01/2022, 144A |
4,252,800 | ||||||
2,705,000 | RSP Permian, Inc., 6.625%, 10/01/2022 |
2,596,800 |
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Independent Energy continued |
||||||||
$ | 1,055,000 | SM Energy Co., 5.000%, 1/15/2024 |
$ | 892,794 | ||||
575,000 | Ultra Petroleum Corp., 6.125%, 10/01/2024, 144A |
327,750 | ||||||
400,000 | Whiting Petroleum Corp., 5.000%, 3/15/2019 |
348,000 | ||||||
3,255,000 | Whiting Petroleum Corp., 6.500%, 10/01/2018 |
3,051,563 | ||||||
|
|
|||||||
49,057,602 | ||||||||
|
|
|||||||
Industrial Other 0.1% |
||||||||
2,200,000 | Alfa SAB de CV, 6.875%, 3/25/2044, 144A(c) |
2,134,000 | ||||||
|
|
|||||||
Integrated Energy 1.1% |
||||||||
2,935,000 | BP Capital Markets PLC, 0.731%, 11/07/2016(b)(d) |
2,940,183 | ||||||
6,595,000 | Chevron Corp., 0.491%, 11/15/2017(c)(d) |
6,574,905 | ||||||
7,020,000 | Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A |
2,421,900 | ||||||
2,090,000 | Pacific Exploration and Production Corp., 5.375%, 1/26/2019, 144A |
773,300 | ||||||
3,310,000 | Shell International Finance BV, 0.531%, 11/15/2016(c)(d) |
3,310,053 | ||||||
|
|
|||||||
16,020,341 | ||||||||
|
|
|||||||
Life Insurance 0.8% |
||||||||
8,600,000 | Assicurazioni Generali SpA, EMTN, (fixed rate to 12/12/2022, variable rate thereafter), 7.750%, 12/12/2042, (EUR)(c) |
11,291,323 | ||||||
|
|
|||||||
Lodging 0.3% |
||||||||
4,900,000 | Wyndham Worldwide Corp., 5.100%, 10/01/2025 |
4,967,836 | ||||||
|
|
|||||||
Media Entertainment 0.1% |
||||||||
27,290,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(c) |
1,363,365 | ||||||
|
|
|||||||
Metals & Mining 0.1% |
||||||||
1,928,000 | ArcelorMittal, 7.750%, 10/15/2039 |
1,571,320 | ||||||
|
|
|||||||
Midstream 1.9% |
||||||||
4,345,000 | Energy Transfer Partners LP, 6.125%, 12/15/2045 |
3,857,556 | ||||||
5,065,000 | MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.875%, 12/01/2024 |
4,634,475 | ||||||
1,710,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020(c) |
1,835,391 | ||||||
5,055,000 | Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025, 144A |
4,454,719 | ||||||
180,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023 |
149,850 |
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Midstream continued |
||||||||
$ | 690,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023 |
$ | 612,375 | ||||
1,120,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022 |
1,071,000 | ||||||
6,015,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.750%, 3/15/2024, 144A |
5,744,325 | ||||||
1,310,000 | Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023 |
1,300,175 | ||||||
4,195,000 | Williams Partners LP, 4.000%, 9/15/2025 |
3,633,373 | ||||||
|
|
|||||||
27,293,239 | ||||||||
|
|
|||||||
Non-Agency Commercial Mortgage-Backed Securities 5.0% |
||||||||
645,475 | Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 6.931%, 5/11/2039, 144A(c)(d) |
659,866 | ||||||
1,600,000 | BLCP Hotel Trust, Series 2014-CLRN, Class D, 2.707%, 8/15/2029, 144A(b)(d) |
1,566,568 | ||||||
1,600,000 | BLCP Hotel Trust, Series 2014-CLRN, Class E, 3.877%, 8/15/2029, 144A(d) |
1,600,629 | ||||||
3,442,048 | BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 8.392%, 5/15/2018, 144A(d)(f) |
3,442,048 | ||||||
4,565,000 | CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.723%, 4/15/2044, 144A(c)(d) |
4,850,518 | ||||||
2,135,000 | Commercial Mortgage Trust, Series 2014-FL5, Class SV4, 4.348%, 10/15/2031, 144A(d)(f) |
2,133,373 | ||||||
691,336 | Commercial Mortgage Trust, Series 2014-SAVA, Class A, 1.357%, 6/15/2034, 144A(c)(d) |
688,527 | ||||||
855,000 | Commercial Mortgage Trust, Series 2014-SAVA, Class B, 1.957%, 6/15/2034, 144A(c)(d) |
850,587 | ||||||
1,605,000 | Commercial Mortgage Trust, Series 2014-SAVA, Class C, 2.607%, 6/15/2034, 144A(c)(d) |
1,594,375 | ||||||
3,700,000 | Credit Suisse Mortgage Capital Certificates, Series 2015-TOWN, Class A, 1.457%, 3/15/2017, 144A(c)(d) |
3,681,056 | ||||||
2,552,340 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.735%, 11/10/2046, 144A(c)(d) |
2,755,792 | ||||||
1,300,000 | Del Coronado Trust, Series 2013-HDMZ, Class M, 5.207%, 3/15/2018, 144A(d) |
1,293,500 | ||||||
7,430,000 | Extended Stay America Trust, Series 2013-ESH7, Class D7, 4.171%, 12/05/2031, 144A(c)(d) |
7,497,056 | ||||||
6,295,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.989%, 8/10/2045(d) |
6,316,302 | ||||||
1,915,000 | Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/05/2030, 144A(c) |
1,920,621 | ||||||
1,460,000 | Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A(c) |
1,468,011 | ||||||
1,580,000 | Hilton USA Trust, Series 2013-HLT, Class EFX, 4.602%, 11/05/2030, 144A(d) |
1,595,307 | ||||||
1,520,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b)(d) |
1,562,428 | ||||||
3,090,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class D, 4.694%, 7/15/2036, 144A(d) |
3,090,000 | ||||||
1,325,000 | Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.902%, 4/12/2049(b)(d) |
1,388,645 |
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Non-Agency Commercial Mortgage-Backed Securities continued |
||||||||
$ | 1,570,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.479%, 6/15/2044, 144A(c)(d) |
$ | 1,665,910 | ||||
2,125,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.479%, 6/15/2044, 144A(c)(d) |
2,215,903 | ||||||
9,885,000 | Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(f) |
9,966,057 | ||||||
2,280,000 | SCG Trust, Series 2013-SRP1, Class B, 2.707%, 11/15/2026, 144A(c)(d) |
2,279,505 | ||||||
2,200,000 | SCG Trust, Series 2013-SRP1, Class C, 3.457%, 11/15/2026, 144A(c)(d) |
2,206,613 | ||||||
700,000 | SCG Trust, Series 2013-SRP1, Class D, 3.541%, 11/15/2026, 144A(c)(d) |
691,811 | ||||||
2,587,500 | WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.644%, 2/15/2044, 144A(b)(d) |
2,762,159 | ||||||
|
|
|||||||
71,743,167 | ||||||||
|
|
|||||||
Oil Field Services 0.0% |
||||||||
375,000 | Diamond Offshore Drilling, Inc., 4.875%, 11/01/2043 |
245,225 | ||||||
|
|
|||||||
Pharmaceuticals 2.9% |
||||||||
7,500,000 | AbbVie, Inc., 3.600%, 5/14/2025(c) |
7,397,003 | ||||||
11,115,000 | Celgene Corp., 3.875%, 8/15/2025 |
11,117,067 | ||||||
4,455,000 | Gilead Sciences, Inc., 4.750%, 3/01/2046 |
4,475,546 | ||||||
3,070,000 | Johnson & Johnson, 0.395%, 11/28/2016(c)(d) |
3,070,267 | ||||||
5,570,000 | Merck & Co., Inc., 0.436%, 2/10/2017(c)(d) |
5,565,455 | ||||||
2,230,000 | Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A |
2,118,500 | ||||||
8,060,000 | VRX Escrow Corp., 4.500%, 5/15/2023, 144A, (EUR) |
8,036,179 | ||||||
|
|
|||||||
41,780,017 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.4% |
||||||||
5,435,000 | Old Republic International Corp., 4.875%, 10/01/2024(c) |
5,697,559 | ||||||
|
|
|||||||
Railroads 0.3% |
||||||||
4,700,000 | Canadian National Railway Co., 0.501%, 11/06/2015(b)(d) |
4,699,370 | ||||||
|
|
|||||||
REITs - Health Care 0.2% |
||||||||
2,510,000 | Healthcare Realty Trust, Inc., 3.875%, 5/01/2025(c) |
2,438,728 | ||||||
|
|
|||||||
REITs - Hotels 0.2% |
||||||||
2,105,000 | Host Hotels & Resorts LP, 5.250%, 3/15/2022(c) |
2,285,735 | ||||||
|
|
Principal Amount () |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
REITs - Shopping Centers 0.2% |
||||||||
$ | 3,225,000 | Brixmor Operating Partnership LP, 3.850%, 2/01/2025(c) |
$ | 3,131,668 | ||||
|
|
|||||||
Retailers 0.5% |
||||||||
5,490,000 | Lowes Cos., Inc., 0.936%, 9/14/2018(d) |
5,509,292 | ||||||
1,080,000 | Phillips-Van Heusen Corp., 7.750%, 11/15/2023(c) |
1,263,600 | ||||||
|
|
|||||||
6,772,892 | ||||||||
|
|
|||||||
Technology 3.6% |
||||||||
1,280,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
1,267,200 | ||||||
1,542,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 |
1,542,000 | ||||||
2,415,000 | Flextronics International Ltd., 4.750%, 6/15/2025, 144A |
2,339,459 | ||||||
11,225,000 | Hewlett Packard Enterprise Co., 4.900%, 10/15/2025, 144A |
11,194,131 | ||||||
10,955,000 | Keysight Technologies, Inc., 4.550%, 10/30/2024, 144A(b) |
10,670,291 | ||||||
7,847,000 | KLA-Tencor Corp., 4.650%, 11/01/2024(b) |
7,841,366 | ||||||
3,565,000 | Micron Technology, Inc., 5.250%, 1/15/2024, 144A |
3,270,887 | ||||||
4,165,000 | Micron Technology, Inc., 5.625%, 1/15/2026, 144A |
3,748,500 | ||||||
3,890,000 | Open Text Corp., 5.625%, 1/15/2023, 144A |
3,858,394 | ||||||
6,125,000 | Verisk Analytics, Inc., 5.500%, 6/15/2045(b) |
6,019,552 | ||||||
|
|
|||||||
51,751,780 | ||||||||
|
|
|||||||
Treasuries 5.6% |
||||||||
81,191,697 | U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020(l) |
80,668,416 | ||||||
|
|
|||||||
Wirelines 0.9% |
||||||||
4,280,000 | Frontier Communications Corp., 11.000%, 9/15/2025, 144A |
4,140,900 | ||||||
7,110,000 | Level 3 Financing, Inc., 5.125%, 5/01/2023, 144A |
6,781,163 | ||||||
10,085,000 | Oi S.A., 9.750%, 9/15/2016, 144A, (BRL) |
1,711,486 | ||||||
|
|
|||||||
12,633,549 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $1,107,532,564) |
1,060,890,711 | |||||||
|
|
|||||||
Convertible Bonds 2.4% | ||||||||
Consumer Cyclical Services 0.2% |
||||||||
3,060,000 | Jarden Corp., 1.125%, 3/15/2034 |
3,499,875 | ||||||
|
|
Principal |
Description |
Value () |
||||||
Bonds and Notes continued | ||||||||
Convertible Bonds continued | ||||||||
Consumer Products 0.1% |
||||||||
$ | 1,760,000 | Iconix Brand Group, Inc., 1.500%, 3/15/2018 |
$ | 1,399,200 | ||||
|
|
|||||||
Leisure 0.4% |
||||||||
7,305,000 | Rovi Corp., 0.500%, 3/01/2020, 144A |
5,633,981 | ||||||
|
|
|||||||
Metals & Mining 0.1% |
||||||||
745,000 | RTI International Metals, Inc., 1.625%, 10/15/2019 |
783,181 | ||||||
|
|
|||||||
Midstream 0.9% |
||||||||
4,385,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 |
3,771,100 | ||||||
11,350,000 | Whiting Petroleum Corp., 1.250%, 4/01/2020, 144A |
9,243,156 | ||||||
|
|
|||||||
13,014,256 | ||||||||
|
|
|||||||
Pharmaceuticals 0.2% |
||||||||
1,625,000 | BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020 |
2,183,594 | ||||||
|
|
|||||||
REITs - Mortgage 0.0% |
||||||||
440,000 | Redwood Trust, Inc., 4.625%, 4/15/2018 |
422,125 | ||||||
|
|
|||||||
Technology 0.5% |
||||||||
915,000 | Novellus Systems, Inc., 2.625%, 5/15/2041(c) |
1,791,684 | ||||||
2,925,000 | Nuance Communications, Inc., 1.500%, 11/01/2035 |
3,010,922 | ||||||
4,014,000 | SunEdison, Inc., 2.625%, 6/01/2023, 144A |
2,022,053 | ||||||
|
|
|||||||
6,824,659 | ||||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $39,471,771) |
33,760,871 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $1,147,004,335) |
1,094,651,582 | |||||||
|
|
|||||||
Senior Loans 9.8% | ||||||||
Aerospace & Defense 0.5% |
||||||||
2,711,153 | Transdigm, Inc., 2015 Term Loan E, 3.500%, 5/14/2022(d) |
2,666,528 | ||||||
1,635,915 | Transdigm, Inc., Term Loan C, 3.750%, 2/28/2020(d) |
1,613,715 | ||||||
2,975,293 | Transdigm, Inc., Term Loan D, 3.750%, 6/04/2021(d) |
2,935,454 | ||||||
|
|
|||||||
7,215,697 | ||||||||
|
|
|||||||
Automotive 0.4% |
||||||||
1,631,520 | Gates Global, Inc., Term Loan B, 4.250%, 7/05/2021(d) |
1,542,945 | ||||||
2,357,918 | IBC Capital Ltd., 1st Lien Term Loan, 4.750%, 9/09/2021(d) |
2,247,874 |
Principal |
Description |
Value () |
||||||
Senior Loans continued | ||||||||
Automotive continued |
||||||||
$ | 1,974,018 | Visteon Corp., Delayed Draw Term Loan B, 3.500%, 4/09/2021(d) |
$ | 1,960,456 | ||||
|
|
|||||||
5,751,275 | ||||||||
|
|
|||||||
Building Materials 0.9% |
||||||||
3,130,076 | ABC Supply Co., Inc., Term Loan, 3.500%, 4/16/2020(d) |
3,101,373 | ||||||
560,000 | Beacon Roofing Supply, Inc., Term Loan B, 10/01/2022(m) |
558,365 | ||||||
2,169,133 | Continental Building Products LLC, 1st Lien Term Loan, 4.000%, 8/28/2020(d) |
2,155,576 | ||||||
2,280,000 | HD Supply, Inc., 2015 Term Loan B, 3.750%, 8/13/2021(d) |
2,269,170 | ||||||
1,420,714 | Ply Gem Industries, Inc., Term Loan, 4.000%, 2/01/2021(d) |
1,403,665 | ||||||
3,278,963 | Quikrete Holdings, Inc., 1st Lien Term Loan, 4.000%, 9/28/2020(d) |
3,255,747 | ||||||
|
|
|||||||
12,743,896 | ||||||||
|
|
|||||||
Cable Satellite 0.1% |
||||||||
2,218,593 | Virgin Media Investment Holdings Ltd., USD Term Loan F, 3.500%, 6/30/2023(d) |
2,183,939 | ||||||
|
|
|||||||
Chemicals 0.3% |
||||||||
1,539,821 | Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan, 3.750%, 2/01/2020(d) |
1,524,700 | ||||||
438,570 | Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(d) |
435,281 | ||||||
1,173,000 | MacDermid, Inc., USD 1st Lien Term Loan, 4.500%, 6/07/2020(d) |
1,134,385 | ||||||
822,938 | Royal Holdings, Inc., 2015 1st Lien Term Loan, 4.500%, 6/19/2022(d) |
818,205 | ||||||
|
|
|||||||
3,912,571 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.4% |
||||||||
5,121,952 | ServiceMaster Co., 2014 Term Loan B, 4.250%, 7/01/2021(d) |
5,110,735 | ||||||
|
|
|||||||
Consumer Products 0.2% |
||||||||
637,621 | Bauer Performance Sports Ltd., Term Loan B, 4.500%, 4/15/2021(d) |
637,226 | ||||||
419,911 | Libbey Glass, Inc., Term Loan B, 3.750%, 4/09/2021(d) |
418,336 | ||||||
2,011,284 | SRAM LLC, New Term Loan B, 4.017%, 4/10/2020(n) |
1,895,635 | ||||||
|
|
|||||||
2,951,197 | ||||||||
|
|
|||||||
Diversified Manufacturing 0.1% |
||||||||
598,791 | Doncasters Finance U.S. LLC, USD Term Loan, 4.500%, 4/09/2020(d) |
595,797 | ||||||
832,552 | Entegris, Inc., Term Loan B, 3.500%, 4/30/2021(d) |
823,536 | ||||||
538,123 | Milacron LLC, Term Loan B, 4.500%, 9/28/2020(d) |
536,778 |
Principal |
Description |
Value () |
||||||
Senior Loans continued | ||||||||
Diversified Manufacturing continued |
||||||||
$ | 92,368 | WESCO Distribution, Inc., Term Loan B, 3.750%, 12/12/2019(d) |
$ | 92,252 | ||||
|
|
|||||||
2,048,363 | ||||||||
|
|
|||||||
Electric 0.3% |
||||||||
1,809,353 | Calpine Construction Finance Co. LP, Original Term Loan B1, 3.000%, 5/03/2020(d) |
1,760,500 | ||||||
2,149,613 | Calpine Corp., Term Loan B5, 3.500%, 5/27/2022(d) |
2,112,596 | ||||||
|
|
|||||||
3,873,096 | ||||||||
|
|
|||||||
Finance Companies 0.1% |
||||||||
881,959 | AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.500%, 7/16/2018(d) |
877,002 | ||||||
|
|
|||||||
Financial Other 0.1% |
||||||||
1,207,967 | Grosvenor Capital Management Holdings LLP, New Term Loan B, 3.750%, 1/04/2021(d) |
1,191,358 | ||||||
543,192 | Harbourvest Partners LLC, New Term Loan, 3.250%, 2/04/2021(d) |
540,476 | ||||||
|
|
|||||||
1,731,834 | ||||||||
|
|
|||||||
Food & Beverage 0.0% |
||||||||
406,105 | Reddy Ice Corp., 1st Lien Term Loan, 6.752%, 5/01/2019(n) |
335,037 | ||||||
|
|
|||||||
Health Insurance 0.2% |
||||||||
2,978,337 | Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, 3.750%, 3/01/2021(d) |
2,929,015 | ||||||
|
|
|||||||
Healthcare 0.2% |
||||||||
1,481,250 | Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.750%, 6/30/2021(d) |
1,451,625 | ||||||
1,703,126 | Renaissance Learning, Inc., New 1st Lien Term Loan, 4.500%, 4/09/2021(d) |
1,647,775 | ||||||
|
|
|||||||
3,099,400 | ||||||||
|
|
|||||||
Industrial Other 1.0% |
||||||||
1,080,784 | Brickman Group Ltd. LLC, 1st Lien Term Loan, 4.000%, 12/18/2020(d) |
1,062,606 | ||||||
2,298,068 | Crosby U.S. Acquisition Corp., 1st Lien Term Loan, 3.750%, 11/23/2020(d) |
1,987,828 | ||||||
5,248,329 | Generac Power Systems, Inc., Term Loan B, 3.500%, 5/31/2020(d) |
5,064,638 | ||||||
511,485 | Mirror Bidco Corp., New Term Loan, 4.250%, 12/28/2019(d) |
509,567 | ||||||
1,915,749 | Pinnacle Operating Corp., Term Loan, 4.750%, 11/15/2018(d) |
1,898,986 | ||||||
1,230,000 | Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.250%, 5/15/2022(d) |
1,220,012 | ||||||
174,288 | USAGM HoldCo LLC, 2015 Delayed Draw Term Loan, 1.875%, 7/28/2022(o) |
172,001 | ||||||
21,341 | USAGM HoldCo LLC, 2015 Delayed Draw Term Loan, 4.750%, 7/28/2022(d) |
21,061 |
Principal |
Description |
Value () |
||||||
Senior Loans continued | ||||||||
Industrial Other continued |
||||||||
$ | 2,774,371 | USAGM HoldCo LLC, 2015 Term Loan, 4.750%, 7/28/2022(d) |
$ | 2,737,971 | ||||
|
|
|||||||
14,674,670 | ||||||||
|
|
|||||||
Leisure 0.1% |
||||||||
1,790,338 | Time, Inc., Term Loan B, 4.250%, 4/26/2021(d) |
1,783,624 | ||||||
|
|
|||||||
Midstream 0.2% |
||||||||
1,002,817 | Energy Transfer Equity LP, 2015 Term Loan, 4.000%, 12/02/2019(d) |
985,267 | ||||||
1,598,385 | Energy Transfer Equity LP, New Term Loan, 3.250%, 12/02/2019(d) |
1,539,581 | ||||||
|
|
|||||||
2,524,848 | ||||||||
|
|
|||||||
Natural Gas 0.1% |
||||||||
967,651 | Southcross Energy Partners LP, 1st Lien Term Loan, 5.250%, 8/04/2021(d) |
870,886 | ||||||
|
|
|||||||
Other Utility 0.2% |
||||||||
3,168,012 | PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(d) |
3,125,782 | ||||||
|
|
|||||||
Packaging 0.4% |
||||||||
3,270,000 | Berry Plastics Holding Corp., Term Loan F, 10/01/2022(m) |
3,261,302 | ||||||
2,498,921 | Signode Industrial Group U.S., Inc., USD Term Loan B, 3.750%, 5/01/2021(d) |
2,477,055 | ||||||
|
|
|||||||
5,738,357 | ||||||||
|
|
|||||||
Pharmaceuticals 0.8% |
||||||||
2,230,978 | Amneal Pharmaceuticals LLC, New Term Loan, 4.500%, 11/01/2019(n) |
2,225,400 | ||||||
1,809,110 | Endo Luxembourg Finance Co. I S.a r.l., 2015 Term Loan B, 3.750%, 9/26/2022(d) |
1,801,765 | ||||||
979,090 | IMS Health, Inc., New USD Term Loan, 3.500%, 3/17/2021(d) |
973,588 | ||||||
3,925,163 | Jaguar Holding Co. II, 2015 Term Loan B, 4.250%, 8/18/2022(d) |
3,874,881 | ||||||
2,990,460 | Mallinckrodt International Finance S.A., Term Loan B, 3.250%, 3/19/2021(d) |
2,930,651 | ||||||
|
|
|||||||
11,806,285 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.5% |
||||||||
3,046,605 | Hub International Ltd., Term Loan B, 4.000%, 10/02/2020(d) |
2,973,304 | ||||||
1,482,550 | Hyperion Insurance Group Ltd., 2015 Term Loan B, 5.500%, 4/29/2022(d) |
1,480,697 | ||||||
3,319,468 | Vertafore, Inc., 1st Lien Term Loan, 4.250%, 10/03/2019(d) |
3,313,260 | ||||||
|
|
|||||||
7,767,261 | ||||||||
|
|
|||||||
Refining 0.2% |
||||||||
2,541,071 | Western Refining, Inc., Term Loan B, 4.250%, 11/12/2020(d) |
2,526,790 | ||||||
|
|
Principal |
Description |
Value () |
||||||
Senior Loans continued | ||||||||
Retailers 0.4% |
||||||||
$ | 320,175 | Hillman Group, Inc. (The), Term Loan B, 4.500%, 6/30/2021(d) |
$ | 318,574 | ||||
3,154,476 | PetSmart, Inc., Term Loan B, 4.250%, 3/11/2022(d) |
3,146,274 | ||||||
600,355 | Staples, Inc., Term Loan B, 4/07/2021(m) |
596,831 | ||||||
1,891,757 | Talbots, Inc. (The), 1st Lien Term Loan, 5.500%, 3/19/2020(d) |
1,855,492 | ||||||
|
|
|||||||
5,917,171 | ||||||||
|
|
|||||||
Technology 1.0% |
||||||||
2,846,650 | Aptean, Inc., 1st Lien Term Loan, 5.250%, 2/26/2020(d) |
2,789,717 | ||||||
1,226,925 | Dell International LLC, USD Term Loan B2, 4.000%, 4/29/2020(d) |
1,220,030 | ||||||
3,037,917 | Infor (U.S.), Inc., USD Term Loan B5, 3.750%, 6/03/2020(d) |
2,936,025 | ||||||
3,259,694 | IQOR U.S., Inc., Term Loan B, 6.000%, 4/01/2021(d) |
2,640,352 | ||||||
3,185,018 | MA FinanceCo. LLC, Term Loan B, 5.250%, 11/19/2021(d) |
3,180,050 | ||||||
1,435,700 | NXP BV, Term Loan D, 3.250%, 1/11/2020(d) |
1,430,316 | ||||||
|
|
|||||||
14,196,490 | ||||||||
|
|
|||||||
Transportation Services 0.1% |
||||||||
777,137 | FPC Holdings, Inc., 1st Lien Term Loan, 5.250%, 11/19/2019(d) |
748,965 | ||||||
516,613 | OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(d) |
510,801 | ||||||
|
|
|||||||
1,259,766 | ||||||||
|
|
|||||||
Wireless 0.1% |
||||||||
1,352,875 | SBA Senior Finance II LLC, Term Loan B1, 3.250%, 3/24/2021(d) |
1,334,652 | ||||||
|
|
|||||||
Wirelines 0.9% |
||||||||
2,847,863 | Communications Sales & Leasing, Inc., Term Loan B, 5.000%, 10/24/2022(d) |
2,666,311 | ||||||
3,522,300 | Integra Telecom, Inc., 2015 1st Lien Term Loan, 5.250%, 8/14/2020(d) |
3,498,102 | ||||||
2,114,040 | Level 3 Financing, Inc., 2015 Term Loan B2, 3.500%, 5/31/2022(d) |
2,094,654 | ||||||
1,991,661 | LTS Buyer LLC, 1st Lien Term Loan, 4.000%, 4/13/2020(d) |
1,951,828 | ||||||
3,018,325 | Zayo Group LLC, Term Loan B, 3.750%, 5/06/2021(d) |
2,996,714 | ||||||
|
|
|||||||
13,207,609 | ||||||||
|
|
|||||||
Total Senior Loans (Identified Cost $143,738,691) |
141,497,248 | |||||||
|
|
|||||||
Loan Participations 0.2% | ||||||||
ABS Other 0.2% |
||||||||
2,513,906 | Rise Ltd., Series 2014-1, Class A, 4.750%, 2/15/2039 (d)(f)(p) (Identified Cost $2,532,760) |
2,520,191 | ||||||
|
|
Shares |
Description |
Value () |
||||||
Preferred Stocks 1.4% | ||||||||
Convertible Preferred Stocks 0.8% | ||||||||
Consumer Non-Cyclical Services 0.3% |
||||||||
74,522 | Tyson Foods, Inc., 4.750% |
$ | 3,819,998 | |||||
|
|
|||||||
Electric 0.1% |
||||||||
17,432 | Dominion Resources, Inc., 6.375%(b) |
864,802 | ||||||
11,055 | Dominion Resources, Inc., Series A, 6.125%(c) |
611,452 | ||||||
9,938 | Dominion Resources, Inc., Series B, 6.000%(c) |
556,329 | ||||||
|
|
|||||||
2,032,583 | ||||||||
|
|
|||||||
Metals & Mining 0.4% |
||||||||
180,668 | Alcoa, Inc., Series 1, 5.375% |
6,034,311 | ||||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $13,617,727) |
11,886,892 | |||||||
|
|
|||||||
Non-Convertible Preferred Stocks 0.6% | ||||||||
Banking 0.3% |
||||||||
3,802 | Ally Financial, Inc., Series G, 7.000%, 144A |
3,814,000 | ||||||
|
|
|||||||
Cable Satellite 0.3% |
||||||||
4,040,000 | NBCUniversal Enterprise, Inc., 5.250%, 144A(b) |
4,267,250 | ||||||
|
|
|||||||
Total Non-Convertible Preferred Stocks (Identified Cost $7,754,788) |
8,081,250 | |||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $21,372,515) |
19,968,142 | |||||||
|
|
|||||||
Common Stocks 0.1% | ||||||||
Energy Equipment & Services 0.1% |
||||||||
35,206 | Halliburton Co. (Identified Cost $1,500,770) |
1,244,532 | ||||||
|
|
|||||||
Other Investments 0.6% | ||||||||
Aircraft ABS 0.6% |
||||||||
900 | ECAF I Blocker Ltd.(e)(f) (Identified Cost $9,000,000) |
9,000,000 | ||||||
|
|
|||||||
Units of Currency() |
||||||||
Purchased Options 0.5% | ||||||||
Over-the-Counter Options on Currency 0.5% |
||||||||
64,050,000 | CNH Call, expiring January 19, 2016 at 6.2123(q)(r) |
95,114 | ||||||
49,600,000 | JPY Call, expiring December 24, 2015 at 117(q)(s) |
567,077 | ||||||
61,600,000 | KRW Put, expiring November 25, 2015 at 1113(q)(r) |
3,946,158 |
Notional
Amount/ |
Description |
Value() |
||||||
Purchased Options continued | ||||||||
Over-the-Counter Options on Currency continued |
||||||||
48,800,000 | TWD Put, expiring January 19, 2016 at 31.1000(q)(r) |
$ | 3,086,844 | |||||
|
|
|||||||
7,695,193 | ||||||||
|
|
|||||||
Total Purchased Options (Identified Cost $3,098,459) |
7,695,193 | |||||||
|
|
|||||||
Purchased Swaptions 0.2% | ||||||||
Interest Rate Swaptions 0.2% |
||||||||
$ | 1,570,000,000 | 1-year Interest Rate Swap Put, expiring 9/12/2016, Pay 28-day TIIE, Receive MXN 4.910% (r)(t) |
476,361 | |||||
1,225,000,000 | 1-year Interest Rate Swap Put, expiring 08/17/2016, Pay 28-day TIIE, Receive MXN 4.890% (t)(u) |
370,488 | ||||||
336,950,000 | 1-year Interest Rate Swap Put, expiring 08/16/2016, Pay 28-day TIIE, Receive MXN 4.900% (t)(v) |
103,147 | ||||||
130,200,000 | 10-year Interest Rate Swap Call, expiring 9/19/2016, Pay 2.570%, Receive 3-month LIBOR (r)(t) |
2,450,338 | ||||||
1,375,000,000 | 1-year Interest Rate Swap Put, expiring 10/16/2015, Pay 28-day TIIE, Receive MXN 4.400% (r)(t) |
371,720 | ||||||
|
|
|||||||
Total Purchased Swaptions (Identified Cost $5,319,945) |
3,772,054 | |||||||
|
|
|||||||
Principal Amount () |
||||||||
Short-Term Investments 10.1% | ||||||||
$ | 590,426 | Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2015 at 0.000% to be repurchased at $590,426 on 10/01/2015 collateralized by $591,500 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $602,259 including accrued interest(w) |
590,426 | |||||
135,894,585 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2015 at 0.010% to be repurchased at $135,894,623 on 10/01/2015 collateralized by $137,155,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $137,155,000; $1,465,000 U.S. Treasury Note, 0.625% due 9/30/2017 valued at $1,463,169 including accrued interest(w) |
135,894,585 | ||||||
9,400,000 | U.S. Treasury Bills, 0.130%, 1/14/2016(x)(y) |
9,399,793 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $145,881,447) |
145,884,804 | |||||||
|
|
|||||||
Total Investments 98.6% (Identified Cost $1,479,448,922)(a) |
1,426,233,746 | |||||||
Other assets less liabilities 1.4% |
20,464,723 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 1,446,698,469 | ||||||
|
|
|||||||
Notional
Amount/ |
||||||||
Written Options (0.1%) | ||||||||
Over-the-Counter Options on Currency (0.1%) |
||||||||
61,600,000 | KRW Put, expiring November 25, 2015 at 1150(q)(r) (Premiums Received $980,364) |
$ | (2,302,423 | ) | ||||
|
|
|||||||
Written Swaptions (0.1%) | ||||||||
Interest Rate Swaptions (0.1%) |
||||||||
$ | 130,200,000 | 10-year Interest Rate Swap Call, expiring 9/19/2016, Pay 3-month LIBOR, Receive 3.070% (r)(t) (Premiums Received $1,783,740) |
$ | (952,648 | ) | |||
|
|
() | Principal Amount stated in U.S. dollars unless otherwise noted. |
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Senior loans are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Centrally cleared swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers.
Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.
Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations.
Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively.
Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively.
Over-the-counter (OTC) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available.
Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
As of September 30, 2015, securities of the Fund were fair valued, as follows:
Type |
Value included in Net Assets (reflected at absolute value) |
Percentage of Net Assets |
||||||
Illiquid securities1 |
$ | 37,596,499 | 2.6 | % | ||||
Other fair valued securities2 |
21,602,929 | 1.5 | % | |||||
|
|
|
|
|||||
$ | 59,199,428 | 4.1 | % |
1 | Illiquid securities are deemed to be fair valued pursuant to the Funds pricing policies and procedures. |
2 | Fair valued by the Funds adviser. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
() | Amount shown represents units. One unit represents a principal amount of 100. |
() | Interest rate swaptions are expressed as notional amount. Options on currency are expressed as units of currency. |
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): |
At September 30, 2015, the net unrealized depreciation on investments based on a cost of $1,479,646,054 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 16,152,844 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(69,565,152 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (53,412,308 | ) | |
|
|
At December 31, 2014, the Fund had a short-term capital loss carryforward of $36,722,563 with no expiration date and a long-term capital loss carryforward of $17,622,766 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | A portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts, futures contracts, swap agreements, options or swaptions. |
(c) | All of this security has been designated to cover the Funds obligations under open forward foreign currency contracts, futures contracts, swap agreements, options or swaptions. |
(d) | Variable rate security. Rate as of September 30, 2015 is disclosed. |
(e) | Fair valued by the Funds adviser. At September 30, 2015, the value of these securities amounted to $21,602,929 or 1.5% of net assets. See Note 2 of Notes to Financial Statements. |
(f) | Illiquid security. At September 30, 2015, the value of these securities amounted to $37,596,499 or 2.6% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Funds pricing policies and procedures. See Note 2 of Notes to Financial Statements. |
(g) | Non-income producing security. |
(h) | Perpetual bond with no specified maturity date. |
(i) | When-issued/delayed delivery. The Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Fund take delivery of the security. No interest accrues to the Fund until the transaction settles. |
Delayed delivery transactions include those designated as To Be Announced (TBAs) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is to be announced 48 hours prior to the established trade settlement date. Certain transactions require the Fund or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Fund covers its net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.
Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds NAV as if the Funds had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.
(j) | Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(k) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(l) | Treasury Inflation Protected Security (TIPS). |
(m) | Position is unsettled. Contract rate was not determined at September 30, 2015 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(n) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at September 30, 2015. |
(o) | Unfunded loan commitment. Represents a contractual obligation for future funding at the option of the Borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. |
(p) | The Fund may invest in loans to corporate, governmental or other borrowers. A Funds investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. |
(q) | The Fund may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid. When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index underlying the written option. Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. |
(r) | Counterparty is Bank of America, N.A. |
(s) | Counterparty is Morgan Stanley & Co. |
(t) | The Fund may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a receiver swaption) or to pay a fixed rate (known as a payer swaption), based on the notional amount of the swap agreement, in exchange for a floating rate. |
When the Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked to market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.
When the Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.
(u) | Counterparty is Deutsche Bank AG. |
(v) | Counterparty is JPMorgan Chase Bank, N.A. |
(w) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds ability to dispose of the underlying securities. As of September 30, 2015, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
(x) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(y) | All of this security has been pledged as initial margin for open futures contracts. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2015, the value of Rule 144A holdings amounted to $440,971,342 or 30.5% of net assets. | |
ABS | Asset-Backed Securities | |
EMTN | Euro Medium Term Note | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium Term Note | |
REITs | Real Estate Investment Trusts | |
TIIE | Tasa de Interes de Equilibrio - Equilibrium Interbank Interest Rate | |
BRL | Brazilian Real | |
CNH | Chinese Yuan Renminbi Offshore | |
COP | Colombian Peso | |
EUR | Euro | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
MXN | Mexican Peso | |
TWD | New Taiwan Dollar | |
USD | U.S. Dollar | |
ZAR | South African Rand |
Swap Agreements
The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the protection buyer and protection seller) to exchange the credit risk of an issuer (reference obligation) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (fees) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as receivable or payable. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swaps). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the CCP) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as variation margin, are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.
At September 30, 2015, the Fund had the following open bilateral credit default swap agreements:
Buy Protection
Counterparty |
Reference |
(Pay)/ Receive Fixed Rate |
Expiration Date |
Notional Value() |
Unamortized Up Front Premium Paid/(Received) |
Market Value |
Unrealized Appreciation (Depreciation) |
Fees Receivable/ (Payable) |
||||||||||||||||||||
Barclays Bank PLC |
CDX.EM* Series 24, 5-Year | (1.00 | %) | 12/20/2020 | $ | 31,600,000 | $ | 4,297,600 | $ | 4,079,126 | $ | (218,474 | ) | $ | (7,022 | ) | ||||||||||||
Barclays Bank PLC |
Republic of Turkey | (1.00 | %) | 9/20/2020 | 7,300,000 | 582,084 | 674,161 | 92,077 | (2,028 | ) | ||||||||||||||||||
Deutsche Bank AG |
CDX.EM* Series 24, 5-Year | (1.00 | %) | 12/20/2020 | 27,700,000 | 3,753,350 | 3,575,690 | (177,660 | ) | (6,156 | ) | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Total |
|
$ | 8,328,977 | $ | (304,057 | ) | $ | (15,206 | ) | |||||||||||||||||||
|
|
|
|
|
|
At September 30, 2015, the Fund had the following open centrally cleared credit default swap agreements:
Sell Protection
Reference Obligation |
(Pay)/ Receive Fixed Rate |
Expiration Date |
Implied Credit Spread^ |
Notional Value() |
Market Value |
Unrealized Appreciation (Depreciation) |
Fees Receivable/ (Payable) |
|||||||||||||||||||
CDX.NA.HY** Series 25, 5-Year |
5.00 | % | 12/20/2020 | 5.03 | % | $ | 14,500,000 | $ | (16,588 | ) | $ | 42,640 | $ | 2,014 | ||||||||||||
CDX.NA.HY** Series 25, 5-Year |
5.00 | % | 12/20/2020 | 5.03 | % | 14,500,000 | (16,588 | ) | 49,878 | 2,014 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | (33,176 | ) | $ | 92,518 | $ | 4,028 | |||||||||||||||||||
|
|
|
|
|
|
() | Notional value stated in U.S. dollars unless otherwise noted. |
^ | Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
* | CDX.EM is an index composed of emerging market credit default swaps. |
** | CDX.NA.HY is an index composed of North American high yield credit default swaps. |
At September 30, 2015, the Fund had the following open bilateral interest rate swap agreements:
Counterparty |
Notional Value |
Currency | Expiration Date |
Fund Pays | Fund Receives | Market Value1 | ||||||||||||
Bank of America, N.A. |
36,000,000 | ZAR | 05/8/2025 | 7.950 | % | 3-month SAFEX-JIBAR | $ | 72,103 | ||||||||||
Barclays Bank PLC |
291,000,000 | ZAR | 05/5/2025 | 7.950 | % | 3-month SAFEX-JIBAR | 581,540 | |||||||||||
JPMorgan Chase Bank, N.A. |
57,120,000 | ZAR | 04/17/2025 | 7.720 | % | 3-month SAFEX-JIBAR | 175,121 | |||||||||||
|
|
|||||||||||||||||
Total |
$ | 828,764 | ||||||||||||||||
|
|
1 | There are no up front payments on interest rate swap agreements; therefore unrealized appreciation (depreciation) is equal to market value. |
JIBAR | Johannesburg Interbank Agreed Rate | |
SAFEX | South African Futures Exchange |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
At September 30, 2015, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Sell1 |
10/08/2015 | Brazilian Real | 27,700,000 | $ | 6,970,733 | $ | 348,016 | |||||||||||
Sell1 |
10/28/2015 | Brazilian Real | 85,675,000 | 21,422,413 | (517,404 | ) | ||||||||||||
Buy1 |
10/30/2015 | Chilean Peso | 10,000,000,000 | 14,330,138 | 191,865 | |||||||||||||
Buy2 |
10/30/2015 | Colombian Peso | 46,000,000,000 | 14,851,019 | 284,838 | |||||||||||||
Sell2 |
10/21/2015 | Colombian Peso | 18,400,000,000 | 5,946,344 | 167,222 | |||||||||||||
Sell3 |
10/21/2015 | Euro | 7,636,000 | 8,534,868 | 104,812 | |||||||||||||
Sell3 |
10/21/2015 | Euro | 143,000 | 159,833 | (388 | ) | ||||||||||||
Sell2 |
10/28/2015 | Euro | 9,845,000 | 11,005,077 | 91,478 | |||||||||||||
Sell1 |
10/30/2015 | Euro | 26,000,000 | 29,064,577 | 91,564 | |||||||||||||
Buy1 |
10/30/2015 | Hungarian Forint | 7,777,600,000 | 27,712,824 | 14,819 | |||||||||||||
Buy1 |
10/30/2015 | Mexican Peso | 159,000,000 | 9,384,043 | 41,050 | |||||||||||||
Sell4 |
10/21/2015 | Mexican Peso | 11,230,986 | 663,332 | 13,862 | |||||||||||||
Sell2 |
10/28/2015 | Mexican Peso | 5,362,500 | 316,542 | (6,275 | ) | ||||||||||||
Sell2 |
10/28/2015 | South African Rand | 285,600,000 | 20,516,855 | (263,690 | ) | ||||||||||||
Sell1 |
9/19/2016 | Yuan Renminbi | 235,000,000 | 36,304,120 | (676,467 | ) | ||||||||||||
|
|
|||||||||||||||||
Total |
$ | (114,698 | ) | |||||||||||||||
|
|
At September 30, 2015, the Fund had the following open forward cross currency contracts:
Settlement Date |
Deliver/Units of Currency | Receive/Units of Currency | Unrealized Appreciation (Depreciation) |
|||||||||||||
10/21/2015 |
Canadian Dollar | 39,605,840 | Euro1 | 26,500,000 | (55,907 | ) | ||||||||||
11/06/2015 |
Swiss Franc | 28,800,105 | British Pound5 | 19,000,000 | (848,096 | ) | ||||||||||
10/06/2015 |
Canadian Dollar | 29,149,950 | Australian Dollar1 | 30,000,000 | (790,443 | ) | ||||||||||
10/06/2015 |
Australian Dollar | 30,000,000 | Canadian Dollar1 | 27,726,000 | (276,551 | ) | ||||||||||
|
|
|||||||||||||||
Total |
$ | (1,970,997 | ) | |||||||||||||
|
|
1 | Counterparty is Bank of America, N.A. |
2 | Counterparty is Credit Suisse International |
3 | Counterparty is Deutsche Bank AG |
4 | Counterparty is Morgan Stanley & Co. |
5 | Counterparty is Citibank, N.A. |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund is reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 2015, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value | Unrealized Appreciation (Depreciation) |
||||||||||||
Eurodollar |
12/19/2016 | 1,398 | $ | 346,197,225 | $ | (1,332,363 | ) | |||||||||
Eurodollar |
12/18/2017 | 1,420 | 349,870,250 | (1,559,228 | ) | |||||||||||
|
|
|||||||||||||||
Total |
$ | (2,891,591 | ) | |||||||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Home Equity |
$ | | $ | 167,664,016 | $ | 2,068,099 | (a) | $ | 169,732,115 | |||||||
ABS Other |
| 16,755,128 | 26,435,377 | (b) | 43,190,505 | |||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
| 54,908,189 | 16,834,978 | (c) | 71,743,167 | |||||||||||
All Other Non-Convertible Bonds* |
| 776,224,924 | | 776,224,924 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 1,015,552,257 | 45,338,454 | 1,060,890,711 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 33,760,871 | | 33,760,871 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 1,049,313,128 | 45,338,454 | 1,094,651,582 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 141,497,248 | | 141,497,248 | ||||||||||||
Loan Participations* |
| | 2,520,191 | (c) | 2,520,191 | |||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks* |
11,886,892 | | | 11,886,892 | ||||||||||||
Non-Convertible Preferred Stocks |
||||||||||||||||
Cable Satellite |
| 4,267,250 | | 4,267,250 | ||||||||||||
Banking |
3,814,000 | | | 3,814,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
15,700,892 | 4,267,250 | | 19,968,142 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Common Stocks* |
1,244,532 | | | 1,244,532 | ||||||||||||
Other Investments* |
| | 9,000,000 | (a) | 9,000,000 | |||||||||||
Purchased Options* |
| 7,695,193 | | 7,695,193 | ||||||||||||
Purchased Swaptions* |
| 3,772,054 | | 3,772,054 | ||||||||||||
Short-Term Investments |
| 145,884,804 | | 145,884,804 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
16,945,424 | 1,352,429,677 | 56,858,645 | 1,426,233,746 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Bilateral Credit Default Swap Agreements (unrealized appreciation) |
| 92,077 | | 92,077 | ||||||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) |
52,240 | | | 52,240 | ||||||||||||
Bilateral Interest Rate Swap Agreements (unrealized appreciation) |
| 828,764 | | 828,764 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 1,349,526 | | 1,349,526 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 16,997,664 | $ | 1,354,700,044 | $ | 56,858,645 | $ | 1,428,556,353 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* |
$ | | $ | (2,302,423 | ) | $ | | $ | (2,302,423 | ) | ||||||
Written Swaptions* |
| (952,648 | ) | | (952,648 | ) | ||||||||||
Bilateral Credit Default Swap Agreements (unrealized depreciation) |
| (396,134 | ) | | (396,134 | ) | ||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
| (3,435,221 | ) | | (3,435,221 | ) | ||||||||||
Futures Contracts (unrealized depreciation) |
(2,891,591 | ) | | | (2,891,591 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (2,891,591 | ) | $ | (7,086,426 | ) | $ | | $ | (9,978,017 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Fair valued by the Funds adviser. |
(b) | Valued using broker-dealer bid prices ($15,900,547) or fair valued by the Funds adviser ($10,534,830). |
(c) | Valued using broker-dealer bid prices. |
The Funds pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2014 and/or September 30, 2015:
Asset Valuation Inputs
Investments in |
Balance as of December 31, 2014 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases | Sales | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of September 30, 2015 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2015 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
ABS Home Equity |
$ | 811,274 | $ | | $ | 28,264 | $ | (11,655 | ) | $ | | $ | (512,985 | ) | $ | 1,753,201 | $ | | $ | 2,068,099 | $ | (12,407 | ) | |||||||||||||||||
ABS Other |
20,098,815 | | 1,820 | (882,747 | ) | 13,694,336 | (1,085,626 | ) | | (5,391,221 | ) | 26,435,377 | (1,192,003 | ) | ||||||||||||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
4,387,394 | | (11,816 | ) | 77,615 | 13,327,048 | (945,263 | ) | | | 16,834,978 | 66,083 | ||||||||||||||||||||||||||||
Loan Participations |
2,657,911 | | (981 | ) | (5,958 | ) | | (130,781 | ) | | | 2,520,191 | (6,284 | ) | ||||||||||||||||||||||||||
Other Investments |
||||||||||||||||||||||||||||||||||||||||
Aircraft ABS |
| | | | 9,000,000 | | | | 9,000,000 | | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 27,955,394 | $ | | $ | 17,287 | $ | (822,745 | ) | $ | 36,021,384 | $ | (2,674,655 | ) | $ | 1,753,201 | $ | (5,391,221 | ) | $ | 56,858,645 | $ | (1,144,611 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A debt security valued at $680,102 was transferred from Level 2 to Level 3 during the period ended September 30, 2015. At December 31, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies. At September 30, 2015, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.
A debt security valued at $1,073,099 was transferred from Level 2 to Level 3 during the period ended September 30, 2015. At December 31, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies. At September 30, 2015, this security was valued at fair value as determined in good faith by the Funds adviser as an independent pricing service was unable to price the security.
Debt securities valued at $5,391,221 were transferred from Level 3 to Level 2 during the period ended September 30, 2015. At December 31, 2014, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies.
All transfers are recognized as of the beginning of the reporting period.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts, futures contracts, option contracts, swaptions and swap agreements.
The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the period ended September 30, 2015, the Fund used forward foreign currency and option contracts, swaptions, interest rate swap agreements and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.
The Fund is subject to the risk that changes in interest rates will affect the value of the Funds investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts, interest rate swap agreements and interest rate swaptions to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended September 30, 2015, the Fund engaged in futures contracts and interest rate swap agreements to manage duration and for hedging purposes.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Funds holdings of foreign securities. During the period ended September 30, 2015, the Fund engaged in forward foreign currency and option contracts for hedging purposes.
The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. During the period ended September 30, 2015, the Fund engaged in credit default swap transactions (as a protection buyer) to hedge its credit exposure.
The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended September 30, 2015, the Fund engaged in futures and option contracts for hedging purposes.
The following is a summary of derivative instruments for the Fund, as of September 30, 2015:
Assets |
Investments at value1 |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
Swap agreements at value |
Total | |||||||||||||||
Over-the-counter asset derivatives |
||||||||||||||||||||
Interest rate contracts |
$ | 3,772,054 | $ | | $ | | $ | 828,764 | $ | 4,600,818 | ||||||||||
Foreign exchange contracts |
7,695,193 | 1,349,526 | | | 9,044,719 | |||||||||||||||
Credit contracts |
| | | 8,328,977 | 8,328,977 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total asset derivatives |
$ | 11,467,247 | $ | 1,349,526 | $ | | $ | 9,157,741 | $ | 21,974,514 | ||||||||||
|
|
|
|
|
|
|
|
|
|
Liabilities |
Options/swaptions written at value |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
Swap agreements at value |
Total | |||||||||||||||
Over-the-counter liability derivatives |
||||||||||||||||||||
Interest rate contracts |
$ | (952,648 | ) | $ | | $ | | $ | | $ | (952,648 | ) | ||||||||
Foreign exchange contracts |
(2,302,423 | ) | (3,435,221 | ) | | | (5,737,644 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total over-the-counter liability derivatives |
$ | (3,255,071 | ) | $ | (3,435,221 | ) | $ | | $ | | $ | (6,690,292 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Exchange-traded/cleared liability derivatives |
||||||||||||||||||||
Interest rate contracts |
$ | | $ | | $ | (2,891,591 | ) | $ | | $ | (2,891,591 | ) | ||||||||
Credit contracts |
| | | (33,176 | ) | (33,176 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total exchange-traded/cleared liability derivatives |
$ | | $ | | $ | (2,891,591 | ) | $ | (33,176 | ) | $ | (2,924,767 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total liability derivatives |
$ | (3,255,071 | ) | $ | (3,435,221 | ) | $ | (2,891,591 | ) | $ | (33,176 | ) | $ | (9,615,059 | ) | |||||
|
|
|
|
|
|
|
|
|
|
1 | Represents purchased options/swaptions, at value. |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Over-the-counter derivatives, including forward foreign currency contracts, options, interest rate swaptions and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (ISDA) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Funds ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of September 30, 2015, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged | ||||||
Citibank N.A. |
$ | (848,096 | ) | $ | 1,350,000 |
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Funds risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Funds aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged
exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2015:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||
$44,220,145 | $ | 23,579,834 |
These amounts include cash and securities received as collateral of $15,892,337.
Industry Summary at September 30, 2015 (Unaudited)
ABS Home Equity |
11.7 | % | ||
Banking |
6.8 | |||
Treasuries |
5.6 | |||
Technology |
5.1 | |||
Non-Agency Commercial Mortgage-Backed Securities |
5.0 | |||
ABS Credit Card |
4.1 | |||
Pharmaceuticals |
3.9 | |||
Automotive |
3.8 | |||
Independent Energy |
3.4 | |||
ABS Other |
3.2 | |||
Midstream |
3.0 | |||
Finance Companies |
2.4 | |||
Cable Satellite |
2.1 | |||
Other Investments, less than 2% each |
28.4 | |||
Short-Term Investments |
10.1 | |||
|
|
|||
Total Investments |
98.6 | |||
Other assets less liabilities (including open written options/swaptions, swap agreements, forward foreign currency contracts and futures contracts) |
1.4 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2015 (Unaudited)
McDonnell Intermediate Municipal Bond Fund
Principal |
Description |
Value () |
||||||
Bonds and Notes 83.3% of Net Assets | ||||||||
Municipals 83.3% | ||||||||
California 5.0% |
||||||||
$ | 250,000 | Alameda Corridor Transportation Authority Revenue, Senior Lien, Refunding, Series A, 5.000%, 10/01/2024 |
$ | 301,638 | ||||
380,000 | Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024 |
459,507 | ||||||
700,000 | Garden Grove Unified School District, 2010 Election, GO, Series C, 5.000%, 8/01/2035 |
788,620 | ||||||
|
|
|||||||
1,549,765 | ||||||||
|
|
|||||||
Colorado 7.6% |
||||||||
260,000 | Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033 |
297,991 | ||||||
400,000 | Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028 |
454,468 | ||||||
400,000 | Denver City & County School District No. 1, GO, Series B, (State Aid Withholding), 5.000%, 12/01/2026 |
477,272 | ||||||
500,000 | Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028 |
615,395 | ||||||
450,000 | University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019 |
513,054 | ||||||
|
|
|||||||
2,358,180 | ||||||||
|
|
|||||||
Florida 13.7% |
||||||||
500,000 | Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027 |
584,850 | ||||||
400,000 | Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018 |
443,688 | ||||||
250,000 | Miami Beach Health Facilities Authority Revenue, Mt. Sinai Medical Center, Refunding, 5.000%, 11/15/2025 |
284,678 | ||||||
750,000 | Miami-Dade County Aviation Revenue, Refunding, Series A, AMT, 5.000%, 10/01/2017 |
808,927 | ||||||
400,000 | Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023 |
477,516 | ||||||
600,000 | Sarasota County Infrastructure Sales Surtax Revenue, Refunding, 5.000%, 10/01/2022 |
723,372 | ||||||
400,000 | Sarasota County Utility System Revenue, 5.000%, 10/01/2023 |
484,252 | ||||||
400,000 | Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025 |
461,920 | ||||||
|
|
|||||||
4,269,203 | ||||||||
|
|
|||||||
Georgia 2.8% |
||||||||
500,000 | Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021 |
583,725 |
Principal |
Description |
Value () |
||||||
Municipals continued | ||||||||
Georgia continued |
||||||||
$ | 250,000 | Savannah Hospital Authority Revenue, St. Josephs/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027 |
$ | 296,280 | ||||
|
|
|||||||
880,005 | ||||||||
|
|
|||||||
Illinois 3.5% |
||||||||
370,000 | Illinois Finance Authority Revenue, Childrens Memorial Hospital, Series B, 5.500%, 8/15/2028 |
410,519 | ||||||
500,000 | Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020 |
570,645 | ||||||
100,000 | Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021 |
115,423 | ||||||
|
|
|||||||
1,096,587 | ||||||||
|
|
|||||||
Kentucky 1.0% |
||||||||
275,000 | Louisville & Jefferson County, Metropolitan Government Revenue, Jewish Hospital St. Marys Healthcare, Prerefunded 02/01/2018@100, 6.125%, 2/01/2037 |
309,438 | ||||||
|
|
|||||||
Massachusetts 1.7% |
||||||||
310,000 | Massachusetts State Development Finance Agency Revenue, Charles Stark Draper Laboratory, Prerefunded 09/01/2018@100, 5.500%, 9/01/2020 |
351,472 | ||||||
150,000 | Massachusetts State Development Finance Agency Revenue, Massachusetts College of Pharmacy Allied Health Science, Series F, 4.000%, 7/01/2018 |
162,211 | ||||||
|
|
|||||||
513,683 | ||||||||
|
|
|||||||
Minnesota 2.6% |
||||||||
250,000 | Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017 |
263,490 | ||||||
300,000 | Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017 |
319,119 | ||||||
200,000 | Northern Municipal Power Agency, Electric System Revenue, Series A, 5.000%, 1/01/2023 |
236,692 | ||||||
|
|
|||||||
819,301 | ||||||||
|
|
|||||||
Missouri 4.3% |
||||||||
700,000 | Missouri Joint Municipal Electric Utility Commission Power Project Revenue, Refunding, 5.000%, 1/01/2024 |
832,412 | ||||||
500,000 | Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016 |
511,345 | ||||||
|
|
|||||||
1,343,757 | ||||||||
|
|
|||||||
Nebraska 1.9% |
||||||||
500,000 | Nebraska Public Power District, General Revenue, Refunding, Series A, 5.000%, 1/01/2028 |
576,455 | ||||||
|
|
|||||||
Nevada 1.9% |
||||||||
500,000 | City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026 |
604,085 | ||||||
|
|
|||||||
New Jersey 4.8% |
||||||||
265,000 | New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtual Health, Inc., 5.000%, 7/01/2023 |
312,978 |
Principal |
Description |
Value () |
||||||
Municipals continued | ||||||||
New Jersey continued |
||||||||
$ | 500,000 | New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032 |
$ | 571,390 | ||||
500,000 | Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024 |
600,240 | ||||||
|
|
|||||||
1,484,608 | ||||||||
|
|
|||||||
New Mexico 1.8% |
||||||||
500,000 | New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031 |
572,600 | ||||||
|
|
|||||||
New York 1.2% |
||||||||
350,000 | New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017 |
371,336 | ||||||
|
|
|||||||
Ohio 7.1% |
||||||||
400,000 | American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021 |
451,476 | ||||||
500,000 | Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023 |
611,860 | ||||||
500,000 | Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024 |
581,140 | ||||||
500,000 | Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030 |
563,260 | ||||||
|
|
|||||||
2,207,736 | ||||||||
|
|
|||||||
Pennsylvania 3.7% |
||||||||
335,000 | Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019 |
380,396 | ||||||
285,000 | Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027 |
302,978 | ||||||
450,000 | Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016 |
463,954 | ||||||
|
|
|||||||
1,147,328 | ||||||||
|
|
|||||||
Rhode Island 1.9% |
||||||||
500,000 | Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024 |
604,495 | ||||||
|
|
|||||||
South Dakota 1.6% |
||||||||
465,000 | Sioux Falls Sales Tax Revenue, Series A-1, 4.750%, 11/15/2036 |
495,983 | ||||||
|
|
|||||||
Texas 8.4% |
||||||||
700,000 | City of Denton, GO, Refunding, 5.000%, 2/15/2024 |
848,330 | ||||||
250,000 | Corpus Christi Utility System Revenue, Junior Lien Improvement, 5.000%, 7/15/2021 |
293,258 | ||||||
500,000 | Harris County Health Facilities Development Authority Revenue, Memorial Hermann Healthcare System, Prerefunded 12/01/2018@100, Series B, 7.125%, 12/01/2031 |
596,610 | ||||||
350,000 | State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022 |
416,538 |
Principal |
Description |
Value () |
||||||
Municipals continued | ||||||||
Texas continued |
||||||||
$ | 400,000 | Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024 |
$ | 478,408 | ||||
|
|
|||||||
2,633,144 | ||||||||
|
|
|||||||
Utah 0.9% |
||||||||
250,000 | Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024 |
292,835 | ||||||
|
|
|||||||
Washington 5.1% |
||||||||
500,000 | Port of Seattle Revenue, AMT, 5.000%, 7/01/2029 |
556,525 | ||||||
400,000 | Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020 |
456,140 | ||||||
500,000 | Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031 |
584,850 | ||||||
|
|
|||||||
1,597,515 | ||||||||
|
|
|||||||
Wisconsin 0.8% |
||||||||
225,000 | Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031 |
249,269 | ||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $25,168,103) |
25,977,308 | |||||||
|
|
|||||||
Short-Term Investments 13.3% | ||||||||
4,134,359 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2015 at 0.010% to be repurchased at $4,134,360 on 10/01/2015 collateralized by $4,075,000 Federal Home Loan Mortgage Corp., 2.375% due 1/13/2022 valued at $4,220,029 including accrued interest(b) (Identified Cost $4,134,359) |
4,134,359 | ||||||
|
|
|||||||
Total Investments 96.6% (Identified Cost $29,302,462)(a) |
30,111,667 | |||||||
Other assets less liabilities 3.4% |
1,075,773 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 31,187,440 | ||||||
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At September 30, 2015, the net unrealized appreciation on investments based on a cost of $29,302,462 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 812,860 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(3,655 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 809,205 | ||
|
|
At December 31, 2014, the Fund had a short-term capital loss carryforward of $342,604 with no expiration date and a long-term capital loss carryforward of $58,812 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds ability to dispose of the underlying securities. As of September 30, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
AGM | Assured Guaranty Municipal Corporation | |
AMT | Alternative Minimum Tax | |
GO | General Obligation |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* |
$ | | $ | 25,977,308 | $ | | $ | 25,977,308 | ||||||||
Short-Term Investments |
| 4,134,359 | | 4,134,359 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 30,111,667 | $ | | $ | 30,111,667 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2015, there were no transfers among Levels 1, 2 and 3.
Holdings Summary at September 30, 2015 (Unaudited)
Medical |
16.9 | % | ||
Higher Education |
14.7 | |||
General |
8.6 | |||
General Obligation |
7.9 | |||
Power |
7.9 | |||
Water |
6.9 | |||
Transportation |
6.8 | |||
School District |
5.9 | |||
Airport |
4.9 | |||
Utilities |
2.8 | |||
Short-Term Investments |
13.3 | |||
|
|
|||
Total Investments |
96.6 | |||
Other assets less liabilities |
3.4 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2015 (Unaudited)
Natixis Oakmark Fund
Shares |
Description |
Value () |
||||||
Common Stocks 97.3% of Net Assets | ||||||||
Air Freight & Logistics 2.0% |
||||||||
35,900 | FedEx Corp. |
$ | 5,168,882 | |||||
|
|
|||||||
Automobiles 3.8% |
||||||||
258,100 | Fiat Chrysler Automobiles NV(b) |
3,409,501 | ||||||
128,400 | General Motors Co. |
3,854,568 | ||||||
50,900 | Harley-Davidson, Inc. |
2,794,410 | ||||||
|
|
|||||||
10,058,479 | ||||||||
|
|
|||||||
Banks 10.4% |
||||||||
586,800 | Bank of America Corp. |
9,142,344 | ||||||
147,100 | Citigroup, Inc. |
7,297,631 | ||||||
110,000 | JPMorgan Chase & Co. |
6,706,700 | ||||||
87,000 | Wells Fargo & Co. |
4,467,450 | ||||||
|
|
|||||||
27,614,125 | ||||||||
|
|
|||||||
Beverages 1.5% |
||||||||
36,400 | Diageo PLC, Sponsored ADR |
3,923,556 | ||||||
|
|
|||||||
Capital Markets 7.7% |
||||||||
104,600 | Bank of New York Mellon Corp. (The) |
4,095,090 | ||||||
88,000 | Franklin Resources, Inc. |
3,278,880 | ||||||
29,000 | Goldman Sachs Group, Inc. (The) |
5,039,040 | ||||||
79,500 | State Street Corp. |
5,343,195 | ||||||
38,000 | T. Rowe Price Group, Inc. |
2,641,000 | ||||||
|
|
|||||||
20,397,205 | ||||||||
|
|
|||||||
Chemicals 1.9% |
||||||||
59,000 | Monsanto Co. |
5,035,060 | ||||||
|
|
|||||||
Communications Equipment 1.4% |
||||||||
70,400 | QUALCOMM, Inc. |
3,782,592 | ||||||
|
|
|||||||
Consumer Finance 4.0% |
||||||||
74,900 | American Express Co. |
5,552,337 | ||||||
68,700 | Capital One Financial Corp. |
4,982,124 | ||||||
|
|
|||||||
10,534,461 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 1.9% |
||||||||
82,800 | TE Connectivity Ltd. |
4,958,892 | ||||||
|
|
|||||||
Energy Equipment & Services 2.3% |
||||||||
113,000 | Halliburton Co. |
3,994,550 | ||||||
58,400 | National Oilwell Varco, Inc. |
2,198,760 | ||||||
|
|
|||||||
6,193,310 | ||||||||
|
|
|||||||
Food Products 3.7% |
||||||||
95,600 | General Mills, Inc. |
5,366,028 | ||||||
59,200 | Nestle S.A., Sponsored ADR |
4,454,208 | ||||||
|
|
|||||||
9,820,236 | ||||||||
|
|
Shares |
Description |
Value () |
||||||
Common Stocks continued | ||||||||
Health Care Equipment & Supplies 1.7% |
||||||||
68,300 | Medtronic PLC |
$ | 4,572,002 | |||||
|
|
|||||||
Health Care Providers & Services 1.8% |
||||||||
42,200 | UnitedHealth Group, Inc. |
4,895,622 | ||||||
|
|
|||||||
Household Durables 1.3% |
||||||||
22,850 | Whirlpool Corp. |
3,364,891 | ||||||
|
|
|||||||
Industrial Conglomerates 2.5% |
||||||||
259,400 | General Electric Co. |
6,542,068 | ||||||
|
|
|||||||
Insurance 7.7% |
||||||||
92,600 | Aflac, Inc. |
5,382,838 | ||||||
122,000 | American International Group, Inc. |
6,932,040 | ||||||
51,000 | Aon PLC |
4,519,110 | ||||||
76,100 | Principal Financial Group, Inc. |
3,602,574 | ||||||
|
|
|||||||
20,436,562 | ||||||||
|
|
|||||||
Internet & Catalog Retail 3.8% |
||||||||
9,810 | Amazon.com, Inc.(b) |
5,021,641 | ||||||
193,600 | Liberty Interactive Corp./QVC Group, Class A(b) |
5,078,128 | ||||||
|
|
|||||||
10,099,769 | ||||||||
|
|
|||||||
Internet Software & Services 3.3% |
||||||||
13,530 | Google, Inc., Class A(b) |
8,637,146 | ||||||
|
|
|||||||
IT Services 8.5% |
||||||||
35,200 | Accenture PLC, Class A |
3,458,752 | ||||||
72,200 | Automatic Data Processing, Inc. |
5,801,992 | ||||||
80,400 | MasterCard, Inc., Class A |
7,245,648 | ||||||
87,120 | Visa, Inc., Class A |
6,068,779 | ||||||
|
|
|||||||
22,575,171 | ||||||||
|
|
|||||||
Machinery 4.1% |
||||||||
58,900 | Caterpillar, Inc. |
3,849,704 | ||||||
31,100 | Cummins, Inc. |
3,376,838 | ||||||
36,200 | Parker Hannifin Corp. |
3,522,260 | ||||||
|
|
|||||||
10,748,802 | ||||||||
|
|
|||||||
Media 3.4% |
||||||||
49,100 | Comcast Corp., Special Class A |
2,810,484 | ||||||
342,200 | News Corp., Class A |
4,318,564 | ||||||
29,300 | Omnicom Group, Inc. |
1,930,870 | ||||||
|
|
|||||||
9,059,918 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 3.6% |
||||||||
44,200 | Anadarko Petroleum Corp. |
2,669,238 | ||||||
136,700 | Apache Corp. |
5,353,172 | ||||||
197,000 | Chesapeake Energy Corp. |
1,444,010 | ||||||
|
|
|||||||
9,466,420 | ||||||||
|
|
|||||||
Personal Products 1.4% |
||||||||
91,300 | Unilever PLC, Sponsored ADR |
3,723,214 | ||||||
|
|
Shares |
Description |
Value () |
||||||
Common Stocks continued | ||||||||
Pharmaceuticals 1.7% |
||||||||
93,100 | Sanofi, ADR |
$ | 4,419,457 | |||||
|
|
|||||||
Road & Rail 1.1% |
||||||||
31,900 | Union Pacific Corp. |
2,820,279 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 4.8% |
||||||||
120,000 | Applied Materials, Inc. |
1,762,800 | ||||||
191,100 | Intel Corp. |
5,759,754 | ||||||
103,500 | Texas Instruments, Inc. |
5,125,320 | ||||||
|
|
|||||||
12,647,874 | ||||||||
|
|
|||||||
Software 3.9% |
||||||||
108,600 | Microsoft Corp. |
4,806,636 | ||||||
155,500 | Oracle Corp. |
5,616,660 | ||||||
|
|
|||||||
10,423,296 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 2.1% |
||||||||
50,600 | Apple, Inc. |
5,581,180 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $251,119,165) |
257,500,469 | |||||||
|
|
|||||||
Principal |
||||||||
Short-Term Investments 3.4% | ||||||||
$ | 8,874,752 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2015 at 0.010% to be repurchased at $8,874,754 on 10/01/2015 collateralized by $8,575,000 U.S. Treasury Bond, 3.125% due 2/15/2042 valued at $9,057,344 including accrued interest(c) (Identified Cost $8,874,752) |
8,874,752 | |||||
|
|
|||||||
Total Investments 100.7% (Identified Cost $259,993,917)(a) |
266,375,221 | |||||||
Other assets less liabilities (0.7)% |
(1,837,204 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 264,538,017 | ||||||
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At September 30, 2015, the net unrealized appreciation on investments based on a cost of $259,993,917 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 28,067,482 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(21,686,178 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 6,381,304 | ||
|
|
(b) | Non-income producing security. |
(c) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds ability to dispose of the underlying securities. As of September 30, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 257,500,469 | $ | | $ | | $ | 257,500,469 | ||||||||
Short-Term Investments |
| 8,874,752 | | 8,874,752 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 257,500,469 | $ | 8,874,752 | $ | | $ | 266,375,221 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
Industry Summary at September 30, 2015 (Unaudited)
Banks |
10.4 | % | ||
IT Services |
8.5 | |||
Insurance |
7.7 | |||
Capital Markets |
7.7 | |||
Semiconductors & Semiconductor Equipment |
4.8 | |||
Machinery |
4.1 | |||
Consumer Finance |
4.0 | |||
Software |
3.9 | |||
Internet & Catalog Retail |
3.8 | |||
Automobiles |
3.8 | |||
Food Products |
3.7 | |||
Oil, Gas & Consumable Fuels |
3.6 | |||
Media |
3.4 | |||
Internet Software & Services |
3.3 | |||
Industrial Conglomerates |
2.5 | |||
Energy Equipment & Services |
2.3 | |||
Technology Hardware, Storage & Peripherals |
2.1 | |||
Air Freight & Logistics |
2.0 | |||
Other Investments, less than 2% each |
15.7 | |||
Short-Term Investments |
3.4 | |||
|
|
|||
Total Investments |
100.7 | |||
Other assets less liabilities |
(0.7 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2015 (Unaudited)
SeeyondSM Multi-Asset Allocation Fund
Principal |
Description |
Value () |
||||||
Bonds and Notes 16.2% of Net Assets | ||||||||
France 2.4% |
||||||||
900,000 | France Government Bond OAT, 3.500%, 4/25/2020, (EUR)(b) |
$ | 1,160,531 | |||||
|
|
|||||||
Germany 2.6% |
||||||||
390,000 | Bundesrepublik Deutschland, 1.500%, 2/15/2023, (EUR)(b) |
475,502 | ||||||
600,000 | Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)(b) |
766,282 | ||||||
|
|
|||||||
1,241,784 | ||||||||
|
|
|||||||
Japan 5.2% |
||||||||
280,000,000 | Japan Government Ten Year Bond, 1.000%, 3/20/2022, (JPY)(b) |
2,470,437 | ||||||
|
|
|||||||
Spain 5.3% |
||||||||
1,850,000 | Spain Government Bond, 4.400%, 10/31/2023, 144A, (EUR)(b) |
2,495,873 | ||||||
|
|
|||||||
United Kingdom 0.7% |
||||||||
200,000 | United Kingdom Gilt, 2.250%, 9/07/2023, (GBP)(b) |
317,860 | ||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $8,259,600) |
7,686,485 | |||||||
|
|
|||||||
Shares |
||||||||
Exchange-Traded Funds 7.6% | ||||||||
United States 7.6% |
||||||||
2,910 | iShares® MSCI China ETF(b)(c) |
127,487 | ||||||
26,610 | iShares® MSCI Emerging Markets ETF(b)(c) |
872,276 | ||||||
13,500 | iShares® MSCI India ETF(b)(c) |
385,695 | ||||||
4,025 | iShares® MSCI South Korea Capped ETF(b)(c) |
196,339 | ||||||
59,600 | iShares® MSCI Switzerland Capped ETF(b)(c) |
1,823,164 | ||||||
13,030 | iShares® MSCI Taiwan ETF(b)(c) |
171,475 | ||||||
700 | iShares® MSCI Thailand Capped ETF(b)(c) |
43,582 | ||||||
|
|
|||||||
Total Exchange-Traded Funds (Identified Cost $4,324,406) |
3,620,018 | |||||||
|
|
|||||||
Contracts |
||||||||
Purchased Options 2.3% | ||||||||
Index Options 1.3% |
||||||||
115 | EURO STOXX 50® Index, Call expiring December 18, 2015 at 3050(d) |
235,208 | ||||||
220 | EURO STOXX 50® Index, Call expiring December 18, 2015 at 3100(d) |
377,074 | ||||||
|
|
|||||||
612,282 | ||||||||
|
|
|||||||
Options on Futures Contracts 1.0% |
||||||||
25 | 10 Year U.S. Treasury Note, Call expiring November 20, 2015 at 129(d) |
22,656 |
Contracts |
Description |
Value () |
||||||
Purchased Options continued | ||||||||
Options on Futures Contracts continued |
||||||||
116 | E-mini S&P 500®, Call expiring December 18, 2015 at 1900(d) |
$ | 449,500 | |||||
|
|
|||||||
472,156 | ||||||||
|
|
|||||||
Total Purchased Options (Identified Cost $909,575) |
1,084,438 | |||||||
|
|
|||||||
Principal |
||||||||
Short-Term Investments 60.7% | ||||||||
$ | 14,471,425 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2015 at 0.010% to be repurchased at $14,471,429 on 10/01/2015 collateralized by $14,910,000 U.S. Treasury Note, 1.500% due 1/31/2022 valued at $14,760,900 including accrued interest(e) |
14,471,425 | |||||
8,000,000 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2015 at 0.010% to be repurchased at $8,000,002 on 10/01/2015 collateralized by $8,160,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $8,160,000 including accrued interest(b)(e) |
8,000,000 | ||||||
1,000,000 | Spain Letras del Tesoro Bills, 0.000%, 12/11/2015, (EUR)(b)(f) |
1,117,549 | ||||||
1,800,000 | United Kingdom Treasury Bills, 0.380%, 11/30/2015, (GBP)(b)(f) |
2,720,526 | ||||||
2,500,000 | U.S. Treasury Bills, 0.000%, 10/15/2015(f) |
2,500,050 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $28,881,248) |
28,809,550 | |||||||
|
|
|||||||
Total Investments 86.8% (Identified Cost $42,374,829)(a) |
41,200,491 | |||||||
Other assets less liabilities 13.2% |
6,277,141 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 47,477,632 | ||||||
|
|
() | Principal Amount stated in U.S. dollars unless otherwise noted. |
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Option contracts on foreign indices are priced at the most recent settlement price.
Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
As of September 30, 2015, option and futures contracts of the Fund were fair valued, as follows:
Type |
Value included in Net Assets (reflected at absolute value) |
Percentage of Net Assets | ||||||
Option contracts* |
$ | 612,282 | 1.3 | % | ||||
Futures contracts* |
170,881 | 0.4 | % | |||||
|
|
|
|
|||||
Total |
$ | 783,163 | 1.7 | % | ||||
|
|
|
|
* | Certain foreign options contracts and futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those contracts. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): |
At September 30, 2015, the net unrealized depreciation on investments based on a cost of $42,473,660 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 174,871 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(1,448,040 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (1,273,169 | ) | |
|
|
(b) | All of this security has been designated to cover the Funds obligations under open futures contracts or options. |
(c) | iShares® is a registered trademark of BlackRock Institutional Trust Company, N.A. Neither BlackRock Institutional Trust Company, N.A. nor the iShares® Funds make any representations regarding the advisability of investing in the SeeyondSM Multi-Asset Allocation Fund. |
(d) | The Fund may enter into option contracts. When the Fund purchases an option, it pays a premium and the option is subsequently marked-to-market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid. |
When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the equity underlying the written option.
Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced.
(e) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds ability to dispose of the underlying securities. As of September 30, 2015, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
(f) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2015, the value of Rule 144A holdings amounted to $2,495,873 or 5.3% of net assets. | |
ETF | Exchange-Traded Fund | |
EUR | Euro | |
GBP | British Pound | |
JPY | Japanese Yen |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 2015, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
ASX SPI 200 |
12/17/2015 | 6 | $ | 530,525 | $ | (111 | ) | |||||||||
Canadian Dollar |
12/15/2015 | 6 | 449,280 | (3,690 | ) | |||||||||||
DAX |
12/18/2015 | 2 | 540,677 | (31,236 | ) | |||||||||||
E-mini NASDAQ 100 |
12/18/2015 | 18 | 1,498,680 | (67,172 | ) | |||||||||||
E-mini S&P 500® |
12/18/2015 | 33 | 3,149,437 | (85,748 | ) | |||||||||||
Euro |
12/14/2015 | 17 | 2,375,537 | (46,113 | ) |
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Financial Futures continued |
||||||||||||||||
Euro-BTP |
12/08/2015 | 9 | $ | 1,370,614 | $ | 24,136 | ||||||||||
Euro-Buxl® 30 Year Bond |
12/08/2015 | 2 | 348,048 | 5,364 | ||||||||||||
FTSE 100 Index |
12/18/2015 | 15 | 1,368,264 | (27,587 | ) | |||||||||||
FTSE MIB |
12/18/2015 | 13 | 1,544,829 | (51,963 | ) | |||||||||||
German Euro Bund |
12/08/2015 | 23 | 4,014,113 | (2,056 | ) | |||||||||||
German Euro Bund, Put options at 154 * |
11/20/2015 | 20 | 13,632 | (894 | ) | |||||||||||
IBEX 35 |
10/16/2015 | 3 | 320,557 | (10,775 | ) | |||||||||||
Mini-Russell 2000 |
12/18/2015 | 7 | 767,130 | (45,745 | ) | |||||||||||
Nikkei 225 |
12/10/2015 | 55 | 4,838,625 | (8,250 | ) | |||||||||||
S&P/TSX 60 Index |
12/17/2015 | 4 | 467,591 | (719 | ) | |||||||||||
UK Long Gilt |
12/29/2015 | 11 | 1,981,187 | 24,960 | ||||||||||||
Ultra Long U.S. Treasury Bond |
12/21/2015 | 11 | 1,764,469 | 14,516 | ||||||||||||
3 Year Australia Government Bond |
12/15/2015 | 30 | 2,364,172 | 2,954 | ||||||||||||
10 Year Canada Government Bond |
12/18/2015 | 11 | 1,168,745 | (17,227 | ) | |||||||||||
10 Year Japan Government Bond |
12/14/2015 | 1 | 1,235,027 | 2,251 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | (325,105 | ) | |||||||||||||
|
|
At September 30, 2015, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Australian Dollar |
12/14/2015 | 24 | $ | 1,677,120 | $ | (1,058 | ) | |||||||||
CBOE SPX Volitility Index |
10/21/2015 | 48 | 1,105,200 | (98,800 | ) | |||||||||||
CBOE SPX Volitility Index |
11/18/2015 | 23 | 508,875 | (20,675 | ) | |||||||||||
EURO STOXX 50® |
12/18/2015 | 54 | 1,869,544 | (49,209 | ) | |||||||||||
Japanese Yen |
12/14/2015 | 3 | 312,862 | (1,481 | ) | |||||||||||
Swiss Franc |
12/14/2015 | 7 | 899,675 | 1,706 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | (169,517 | ) | |||||||||||||
|
|
* | Futures on German Euro Bund options are categorized as futures for valuation purposes but carry the risks associated with investments in options. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* |
$ | | $ | 7,686,485 | $ | | $ | 7,686,485 | ||||||||
Exchange-Traded Funds* |
3,620,018 | | | 3,620,018 | ||||||||||||
Purchased Options* |
472,156 | 612,282 | | 1,084,438 | ||||||||||||
Short-Term Investments |
| 28,809,550 | | 28,809,550 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
4,092,174 | 37,108,317 | | 41,200,491 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Futures Contracts (unrealized appreciation) |
75,887 | | | 75,887 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 4,168,061 | $ | 37,108,317 | $ | | $ | 41,276,378 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) |
$ | (399,628 | ) | $ | (170,881 | ) | $ | | $ | (570,509 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2015, there were no transfers among Levels 1, 2 and 3.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include futures contracts and option contracts.
The Fund seeks to gain exposure to a combination of four asset classes: equity, fixed income, currency and volatility. The Fund pursues its objective by utilizing a variety of listed and other liquid derivative instruments. The Funds equity exposure typically will be obtained through investments in broad, equity index listed futures, equity index options, options on futures and exchange-traded funds (ETFs). The Funds fixed income exposure may consist of, but is not limited to, U.S. and non-U.S. government bonds, listed bond futures, options on futures and fixed income ETFs. The Funds currency exposure typically will be obtained through investments in non-dollar denominated investments and futures contracts. The Funds exposure to volatility assets will result from both long and short positions in futures and options, such as futures contracts based on the Chicago Board Options Exchange Volatility Index (the VIX), listed equity index options, options on futures and equity index futures. During the period ended September 30, 2015, the Fund used futures, equity index options and options on futures contracts to gain investment exposure in accordance with its objective.
The following is a summary of derivative instruments for the Fund, as of September 30, 2015:
Assets |
Investments at value1 |
Unrealized appreciation on futures contracts |
Total | |||||||||
Exchange traded/cleared asset derivatives |
||||||||||||
Interest rate contracts |
$ | 22,656 | $ | 74,181 | $ | 96,837 | ||||||
Foreign exchange contracts |
| 1,706 | 1,706 | |||||||||
Equity contracts |
1,061,782 | | 1,061,782 | |||||||||
|
|
|
|
|
|
|||||||
Total asset derivatives |
$ | 1,084,438 | $ | 75,887 | $ | 1,160,325 | ||||||
|
|
|
|
|
|
Liabilities |
Unrealized depreciation on futures contracts |
|||
Exchange traded/cleared liability derivatives |
||||
Interest rate contracts |
$ | (20,177 | ) | |
Foreign exchange contracts |
(52,342 | ) | ||
Equity contracts |
(497,990 | ) | ||
|
|
|||
Total liability derivatives |
$ | (570,509 | ) | |
|
|
1 | Represents purchased options, at value. |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin
from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund as of September 30, 2015:
Maximum Amount of Loss - Gross |
||
$ | 916,517 |
Industry Summary at September 30, 2015 (Unaudited)
Treasuries |
16.2 | % | ||
Exchange-Traded Funds |
7.6 | |||
Purchased Options |
2.3 | |||
Short-Term Investments |
60.7 | |||
|
|
|||
Total Investments |
86.8 | |||
Other assets less liabilities (including futures contracts) |
13.2 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2015 (Unaudited)
Vaughan Nelson Value Opportunity Fund
Shares |
Description |
Value () |
||||||
Common Stocks 95.5% of Net Assets | ||||||||
Auto Components 2.9% |
||||||||
270,475 | Delphi Automotive PLC |
$ | 20,566,919 | |||||
306,325 | Tenneco, Inc.(b) |
13,714,170 | ||||||
|
|
|||||||
34,281,089 | ||||||||
|
|
|||||||
Banks 6.3% |
||||||||
563,775 | CIT Group, Inc. |
22,567,913 | ||||||
2,141,075 | Investors Bancorp, Inc. |
26,420,865 | ||||||
596,375 | PacWest Bancorp |
25,530,814 | ||||||
|
|
|||||||
74,519,592 | ||||||||
|
|
|||||||
Capital Markets 3.3% |
||||||||
417,125 | LPL Financial Holdings, Inc. |
16,589,061 | ||||||
469,275 | SEI Investments Co. |
22,633,134 | ||||||
|
|
|||||||
39,222,195 | ||||||||
|
|
|||||||
Commercial Services & Supplies 1.2% |
||||||||
384,550 | KAR Auction Services, Inc. |
13,651,525 | ||||||
|
|
|||||||
Communications Equipment 2.0% |
||||||||
778,875 | CommScope Holding Co., Inc.(b) |
23,389,616 | ||||||
|
|
|||||||
Containers & Packaging 7.1% |
||||||||
417,125 | Avery Dennison Corp. |
23,596,761 | ||||||
547,500 | Crown Holdings, Inc.(b) |
25,048,125 | ||||||
263,975 | Packaging Corp. of America |
15,880,736 | ||||||
371,500 | WestRock Co. |
19,109,960 | ||||||
|
|
|||||||
83,635,582 | ||||||||
|
|
|||||||
Diversified Consumer Services 2.6% |
||||||||
325,900 | Grand Canyon Education, Inc.(b) |
12,380,941 | ||||||
550,750 | ServiceMaster Global Holdings, Inc.(b) |
18,477,663 | ||||||
|
|
|||||||
30,858,604 | ||||||||
|
|
|||||||
Diversified Financial Services 2.3% |
||||||||
501,875 | Nasdaq, Inc. |
26,764,994 | ||||||
|
|
|||||||
Food & Staples Retailing 1.3% |
||||||||
2,528,900 | Rite Aid Corp.(b) |
15,350,423 | ||||||
|
|
|||||||
Health Care Providers & Services 6.8% |
||||||||
371,500 | Amsurg Corp.(b) |
28,869,265 | ||||||
446,475 | Community Health Systems, Inc.(b) |
19,095,736 | ||||||
417,125 | HCA Holdings, Inc.(b) |
32,268,790 | ||||||
|
|
|||||||
80,233,791 | ||||||||
|
|
|||||||
Household Durables 4.6% |
||||||||
94,500 | Harman International Industries, Inc. |
9,071,055 | ||||||
576,812 | Jarden Corp.(b) |
28,194,570 | ||||||
342,175 | Lennar Corp., Class A |
16,468,883 | ||||||
|
|
|||||||
53,734,508 | ||||||||
|
|
Shares |
Description |
Value () |
||||||
Common Stocks continued | ||||||||
Household Products 1.4% |
||||||||
182,500 | Spectrum Brands Holdings, Inc. |
$ | 16,700,575 | |||||
|
|
|||||||
Insurance 6.3% |
||||||||
591,475 | Arthur J. Gallagher & Co. |
24,416,088 | ||||||
655,025 | First American Financial Corp. |
25,591,827 | ||||||
260,700 | Reinsurance Group of America, Inc., Class A |
23,616,813 | ||||||
|
|
|||||||
73,624,728 | ||||||||
|
|
|||||||
Internet & Catalog Retail 1.6% |
||||||||
322,625 | HSN, Inc. |
18,467,055 | ||||||
|
|
|||||||
IT Services 11.0% |
||||||||
338,925 | Broadridge Financial Solutions, Inc. |
18,759,499 | ||||||
202,050 | CACI International, Inc., Class A(b) |
14,945,639 | ||||||
290,050 | Fiserv, Inc.(b) |
25,121,230 | ||||||
215,075 | Global Payments, Inc. |
24,675,555 | ||||||
840,800 | Sabre Corp. |
22,852,944 | ||||||
511,650 | Total System Services, Inc. |
23,244,259 | ||||||
|
|
|||||||
129,599,126 | ||||||||
|
|
|||||||
Life Sciences Tools & Services 2.3% |
||||||||
1,036,325 | VWR Corp.(b) |
26,623,189 | ||||||
|
|
|||||||
Machinery 3.7% |
||||||||
616,650 | Milacron Holdings Corp.(b) |
10,822,207 | ||||||
107,550 | Snap-on, Inc. |
16,233,597 | ||||||
156,425 | WABCO Holdings, Inc.(b) |
16,398,033 | ||||||
|
|
|||||||
43,453,837 | ||||||||
|
|
|||||||
Metals & Mining 3.7% |
||||||||
446,475 | Carpenter Technology Corp. |
13,291,561 | ||||||
2,411,575 | Constellium NV, Class A(b) |
14,614,144 | ||||||
286,775 | Reliance Steel & Aluminum Co. |
15,488,718 | ||||||
|
|
|||||||
43,394,423 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.6% |
||||||||
244,425 | Gulfport Energy Corp.(b) |
7,254,534 | ||||||
|
|
|||||||
Pharmaceuticals 3.7% |
||||||||
915,750 | Catalent, Inc.(b) |
22,252,725 | ||||||
304,700 | Endo International PLC(b) |
21,109,616 | ||||||
|
|
|||||||
43,362,341 | ||||||||
|
|
|||||||
Professional Services 0.7% |
||||||||
524,675 | TriNet Group, Inc.(b) |
8,814,540 | ||||||
|
|
|||||||
Road & Rail 1.1% |
||||||||
788,650 | Hertz Global Holdings, Inc.(b) |
13,194,115 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 4.5% |
||||||||
185,750 | Avago Technologies Ltd. |
23,220,607 | ||||||
909,225 | Micron Technology, Inc.(b) |
13,620,191 | ||||||
189,025 | Skyworks Solutions, Inc. |
15,917,795 | ||||||
|
|
|||||||
52,758,593 | ||||||||
|
|
Shares |
Description |
Value () |
||||||
Common Stocks continued | ||||||||
Software 2.2% |
||||||||
215,075 | Check Point Software Technologies Ltd.(b) |
$ | 17,061,900 | |||||
479,050 | RingCentral, Inc., Class A(b) |
8,694,757 | ||||||
|
|
|||||||
25,756,657 | ||||||||
|
|
|||||||
Specialty Retail 4.5% |
||||||||
296,550 | Cabelas, Inc.(b) |
13,522,680 | ||||||
503,500 | Mens Wearhouse, Inc. (The) |
21,408,820 | ||||||
136,875 | Signet Jewelers Ltd. |
18,632,794 | ||||||
|
|
|||||||
53,564,294 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 1.5% |
||||||||
762,575 | NCR Corp.(b) |
17,348,581 | ||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 3.9% |
||||||||
795,175 | Gildan Activewear, Inc. |
23,982,478 | ||||||
215,075 | PVH Corp. |
21,924,746 | ||||||
|
|
|||||||
45,907,224 | ||||||||
|
|
|||||||
Trading Companies & Distributors 2.4% |
||||||||
733,250 | HD Supply Holdings, Inc.(b) |
20,985,615 | ||||||
127,100 | United Rentals, Inc.(b) |
7,632,355 | ||||||
|
|
|||||||
28,617,970 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $1,108,694,253) |
1,124,083,701 | |||||||
|
|
|||||||
Closed-End Investment Companies 2.3% | ||||||||
1,815,700 | Ares Capital Corp. (Identified Cost $29,885,711) |
26,291,336 | ||||||
|
|
|||||||
Principal |
||||||||
Short-Term Investments 3.4% | ||||||||
$ | 40,266,046 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2015 at 0.010% to be repurchased at $40,266,057 on 10/1/2015 collateralized by $41,490,000 U.S. Treasury Note, 1.500% due 1/31/2022 valued at $41,075,100 including accrued interest(c) (Identified Cost $40,266,046) |
40,266,046 | |||||
|
|
|||||||
Total Investments 101.2% (Identified Cost $1,178,846,010)(a) |
1,190,641,083 | |||||||
Other assets less liabilities (1.2)% |
(13,850,600 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 1,176,790,483 | ||||||
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At September 30, 2015, the net unrealized appreciation on investments based on a cost of $1,178,846,010 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 112,150,349 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(100,355,276 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 11,795,073 | ||
|
|
(b) | Non-income producing security. |
(c) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds ability to dispose of the underlying securities. As of September 30, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 1,124,083,701 | $ | | $ | | $ | 1,124,083,701 | ||||||||
Closed-End Investment Companies |
26,291,336 | | | 26,291,336 | ||||||||||||
Short-Term Investments |
| 40,266,046 | | 40,266,046 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 1,150,375,037 | $ | 40,266,046 | $ | | $ | 1,190,641,083 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
Industry Summary at September 30, 2015 (Unaudited)
IT Services |
11.0 | % | ||
Containers & Packaging |
7.1 | |||
Health Care Providers & Services |
6.8 | |||
Banks |
6.3 | |||
Insurance |
6.3 | |||
Household Durables |
4.6 | |||
Specialty Retail |
4.5 | |||
Semiconductors & Semiconductor Equipment |
4.5 | |||
Textiles, Apparel & Luxury Goods |
3.9 | |||
Machinery |
3.7 | |||
Metals & Mining |
3.7 | |||
Pharmaceuticals |
3.7 | |||
Capital Markets |
3.3 | |||
Auto Components |
2.9 | |||
Diversified Consumer Services |
2.6 | |||
Trading Companies & Distributors |
2.4 | |||
Diversified Financial Services |
2.3 | |||
Life Sciences Tools & Services |
2.3 | |||
Closed-End Investment Companies |
2.3 | |||
Software |
2.2 | |||
Communications Equipment |
2.0 | |||
Other Investments, less than 2% each |
9.4 | |||
Short-Term Investments |
3.4 | |||
|
|
|||
Total Investments |
101.2 | |||
Other assets less liabilities |
(1.2 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
ITEM 2. | CONTROLS AND PROCEDURES. |
The registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commissions rules and forms, based upon such officers evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the registrants internal control over financial reporting that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
ITEM 3. | EXHIBITS |
(a)(1) | Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith. | |
(a)(2) | Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Natixis Funds Trust II | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | November 20, 2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | November 20, 2015 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | November 20, 2015 |
Exhibit (a)(1)
Natixis Funds Trust II
Exhibit to SEC Form N-Q
Section 302 Certification
I, David L. Giunta, certify that:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: November 20, 2015
/s/ David L. Giunta |
David L. Giunta |
President and Chief Executive Officer |
Exhibit (a)(2)
Natixis Funds Trust II
Exhibit to SEC Form N-Q
Section 302 Certification
I, Michael C. Kardok, certify that:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: November 20, 2015
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |